Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

We consider the problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and d...

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Veröffentlicht in:Finance and stochastics 2015, Vol.19 (1), p.135-159
1. Verfasser: Mostovyi, Oleksii
Format: Artikel
Sprache:eng
Schlagworte:
Arbitrage
Capital market
Consumption
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Expected utility
Finance
Functional analysis
Insurance
Investment
Investments
Management
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Quantitative Finance
Statistics for Business
Stochastic models
Stocks
Studies
Theorems
Validity
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Beschreibung
Zusammenfassung:We consider the problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and dual problems are finite.
ISSN:0949-2984
1432-1122
DOI:10.1007/s00780-014-0248-5