Optimal Consumption and Investment with Hyperbolic Lévy Motion

Optimal Consumption and Investment with Hyperbolic Lévy Motion

dc.creatorBarbachan, José Fajardo
dc.date2000-05-01
dc.date.accessioned2022-11-03T21:18:15Z
dc.date.available2022-11-03T21:18:15Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2773
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5047783
dc.descriptionWe solve the intertemporal consumption and investment problem in a continuous time setting assuming that the security prices follow a Hyperbolic Lévy Motion. Using Stochastic Calculus for Lévy processes, we give sufficient conditions for the existence of optimal consumption and investment policies.en-US
dc.descriptionResolvemos a problema do consumo e investimento intertemporal num contexto de tempo contínuo, supondo que os preços dos ativos seguem um Processo de Lévy, denominado Movimento de Lévy Hiperbólico. Usando cálculo estocástico para Processos de Lévy, damos condições suficientes para a existência de políticas ótimas de investimento e consumo.pt-BR
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2773/1696
dc.sourceBrazilian Review of Econometrics; Vol. 20 No. 1 (2000); 27-54en-US
dc.sourceBrazilian Review of Econometrics; v. 20 n. 1 (2000); 27-54pt-BR
dc.source1980-2447
dc.subjectHyperbolic Lévy motionen-US
dc.subjectIncomplete Markets .en-US
dc.subjectG11en-US
dc.subjectHyperbolic Lévy motionpt-BR
dc.subjectIncomplete Markets .pt-BR
dc.subjectG11pt-BR
dc.titleOptimal Consumption and Investment with Hyperbolic Lévy Motionen-US
dc.titleOptimal Consumption and Investment with Hyperbolic Lévy Motionpt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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