We consider a portfolio optimization problem for financial markets driven by Levy processes with non constant coefficients. For power utility functions we find the optimal strategy in explicit form. Moreover, using this strategy and the Leland approach we develop asymptotic optimal investment and consumption methods for the financial markets with proportional transaction costs.
Международная научная конференция "Робастная статистика и финансовая математика – 2020" (15-16 декабря 2020 г.) : сборник статей. Томск, 2021. С. 32-40