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

Oleksii Mostovyi

Papers from arXiv.org

Abstract: We consider a 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

Date: 2011-07, Revised 2012-07
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Citations: View citations in EconPapers (2)

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