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

Oleksii Mostovyi ()

Finance and Stochastics, 2015, vol. 19, issue 1, 135-159

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Utility maximization; Incomplete markets; Duality theory; Legendre–Fenchel transformation; Stochastic clock; 91G10; 93E20; G11 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (22)

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DOI: 10.1007/s00780-014-0248-5

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