Optimal investment with intermediate consumption under no unbounded profit with bounded risk

Huy N. Chau, Andrea Cosso, Claudio Fontana and Oleksii Mostovyi

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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 (NUPBR) and of the finiteness of both primal and dual value functions.

Date: 2015-09, Revised 2017-06
New Economics Papers: this item is included in nep-upt
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Published in Journal of Applied Probability, 2017, 54(3): 710-719

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1509.01672

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