Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

Article Abstract:

Research is presented describing the study of a jump diffusion bank account and stock market to determine the investment policy and optimal consumption levels required.

Diffusion processes

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On optimal terminal wealth under transaction costs

Article Abstract:

Research is presented describing the study of financial markets to determine optimal terminal wealth levels required to operate maximum transaction costs.

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Wealth optimization in an incomplete market driven by a jump-diffusion process

Article Abstract:

Research is presented describing the study of portfolio optimization using jump market diffusion and market risk strategy behaviour.

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