Chau, Ngoc Huy and Cosso, A. and Fontana, C. and Mostovyi, O. (2017) Optimal investment with intermediate consumption under no unbounded profit with bounded risk. JOURNAL OF APPLIED PROBABILITY, 54 (3). pp. 710-719. ISSN 0021-9002
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Official URL: https://www.researchgate.net/profile/Ngoc_Huy_Chau...
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. Copyright © 2017 Applied Probability Trust.
| Item Type: | Article |
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| Uncontrolled Keywords: | Duality theory; semimartingale; utility maximization; INCOMPLETE MARKET; local martingale deflator; arbitrage of the first kind; |
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 12 Jan 2019 05:15 |
| Last Modified: | 12 Jan 2019 05:15 |
| URI: | http://real.mtak.hu/id/eprint/89752 |
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