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

<Para ID="Par1">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. Copyright Springer-Verlag Berlin Heidelberg 2015

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Year of publication:	2015
Authors:	Mostovyi, Oleksii
Published in:	Finance and Stochastics. - Springer. - Vol. 19.2015, 1, p. 135-159
Publisher:	Springer
Subject:	Utility maximization \| Incomplete markets \| Duality theory \| Legendre–Fenchel transformation \| Stochastic clock

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011151667