We extend the duality approach developed by Kramkov and Schachermayer (1999) to cover the case of a general financial framework that includes models with some “imperfection”, such as constrained proportion portfolios, labor income, random endowment and large investor. General objective...

We extend the duality approach developed by Kramkov and Schachermayer (1999) to cover the case of a general financial framework that includes models with some “imperfection”, such as constrained proportion portfolios, labor income, random endowment and large investor. General objective...

We analyze general stochastic optimization financial problems under constraints in a general framework, which includes financial models with some ``imperfection'', such as constrained portfolios, labor income, random endowment and large investor models. By using general optional decomposition...

We analyze a problem of maximization of expected terminal wealth and consumption in markets with some ``imperfection'', such as constraints on the permitted portfolios, labor income, or/and nonlinearity of portfolio dynamics. By using general optional decomposition under constraints in...

We analyze a problem of maximization of expected terminal wealth and consumption under constraints in a general framework including financial models with constrained portfolios, labor income and large investor models. By using general optional decomposition under constraints in a multiplicative...