Research on Optimization of Optimal Consumption and Portfolio Strategies
YANG Jielin
JIN Hao
Abstract：This paper investigates the optimal portfolio problem with risk asset prices driven by non-explosive counting jump processes.Under the assumptions of continuous dividend payments and a complete market framework,we employ stochastic analysis techniques to derive the unique equivalent martingale measure.The existence of optimal investment strategies and optimal consumption processes is rigorously demonstrated.Finally,the optimal wealth process,the value function,the optimal investment strategy and optimal consumption process are given,which extend the investment optimization problem.
Keywords：wealth optimizationconsumption processjump-diffusion processequivalent martingale measure
Publication Date：2025-06-25
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：8( 97-104 )