The Opportunity Process for Optimal Consumption and Investment with Power Utility

Marcel Nutz

Papers from arXiv.org

Abstract: We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value process of the resulting stochastic control problem. We show how the opportunity process describes the key objects: optimal strategy, value function, and dual problem. The results are applied to obtain monotonicity properties of the optimal consumption.

Date: 2009-12, Revised 2010-06
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Citations: View citations in EconPapers (21)

Published in Math. Financ. Econ., 3(3):139-159, 2010

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0912.1879

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