Reikvam, Kristin; Benth, Fred Espen; Karlsen, Kenneth … - In: Finance and Stochastics 5 (2001) 4, pp. 447-467
We consider an optimal portfolio-consumption problem which incorporates the notions of durability and intertemporal substitution. The logreturns of the uncertain assets are not necessarily normally distributed. The natural models then involve Lévy processes as driving noise instead of the more...
