We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility maximization theory hold under the assumptions of no unbounded profit with bounded risk and of the finiteness of both primal and dual value functions.

Optimal investment with intermediate consumption under no unbounded profit with bounded risk / H.N. Chau, A. Cosso, C. Fontana, O. Mostovyi. - In: JOURNAL OF APPLIED PROBABILITY. - ISSN 0021-9002. - 54:3(2017), pp. 710-719. [10.1017/jpr.2017.29]

Optimal investment with intermediate consumption under no unbounded profit with bounded risk

A. Cosso
Secondo
;
2017

Abstract

We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility maximization theory hold under the assumptions of no unbounded profit with bounded risk and of the finiteness of both primal and dual value functions.
arbitrage of the first kind; duality theory; incomplete market; local martingale deflator; semimartingale; Utility maximization; Statistics and Probability; Mathematics (all); Statistics; Probability and Uncertainty
Settore MAT/06 - Probabilita' e Statistica Matematica
2017
15-set-2017
https://www.cambridge.org/core/journals/journal-of-applied-probability/all-issues
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/931988
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