Optimal investment and consumption for financial markets with jumps

Jeudi 5 novembre 2020, 10:15 à 11:15

Salle de séminaires M.0.1.

Sergeï Egorov


We consider a portfolio optimization problem  for financial markets described by exponential Levy processes with jumps. For this problem we obtain and study the Hamilton-Jacobi-Bellman equation which is an integral and partial differential equation of the second order. For this problem we show the corresponding verification theorem and construct the optimal  consumption/investment strategies. For the power utility function we find the optimal strategies in the explicit form. Finally, we do the Monte Carlo simulations to illustrate numerically the obtained theoretical results.