In the paper we present a proposal of augmenting portfolio analysis for the infinitely divisible distributions of returns - so that the prices of assets can follow Lévy processes. In this article we propose a model in which asset prices follow multidimensional Lévy process and the...

In the article we present some extension for the classical problem of dynamic investment optimization. We take the neoclassical model of growth with one product and many consumption goods. The number of consumption goods can be infinite and the consumption bundle is defined on some abstract,...