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

被引：28

作者：

Mostovyi, Oleksii ^{[1
]}

机构：

[1] Univ Texas Austin, Dept Math, Austin, TX 78712 USA

来源：

FINANCE AND STOCHASTICS | 2015年 / 19卷 / 01期

关键词：

Utility maximization; Incomplete markets; Duality theory; Legendre-Fenchel transformation; Stochastic clock; ROBUST UTILITY MAXIMIZATION; FUNDAMENTAL THEOREM; PORTFOLIO POLICIES; OPTIMIZATION; DECISIONS;

D O I：

10.1007/s00780-014-0248-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：135 / 159

页数：25

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