We consider the consumption-investment optimization problem for the financial market model with constant proportional transaction rates and Lévy price process dynamics. Contrarily to the recent work of De Vallière (Financ Stoch 20:705–740, 2016), portfolio process trajectories are only left and right limited. This allows us to identify an optimal làdlàg strategy, e.g. in the two dimensional case, as it is possible to suitably rebalance the portfolio processes when they jump out of the no-trade region in the solvency cone.

中文翻译：

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具有交易成本和交易策略的Lévy金融模型中的消费-投资优化问题

我们考虑具有恒定比例交易率和Lévy价格过程动态的金融市场模型的消费-投资优化问题。与DeVallière的最新工作相反（Financ Stoch 20：705-740，2016），投资组合过程轨迹仅受左右限制。这使我们能够确定最佳的làdlàg策略，例如在二维情况下，因为当投资组合过程跳出偿付能力锥的无交易区域时，可以适当地重新平衡投资组合过程。