Laboratoire de Mathématiques Raphaël Salem

UMR 6085 CNRS - University of Rouen Normandy

We consider the problem of constructing optimal investment and consumption strategies for financial markets, described by L\'evy processes with jumps that are widely used in financial mathematics. This is classical portfolio optimization problem. 

 

For this problem, we introduce portfolio model, and, for determined objective function, we have found the optimal strategy in the class of self-financing strategies.