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. CossoSecondo
;
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.
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