arXiv Open Access 2015

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

Huy N. Chau Andrea Cosso Claudio Fontana Oleksii Mostovyi

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Abstrak

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.

Topik & Kata Kunci

q-fin.PM math.PR

Penulis (4)

Huy N. Chau

Andrea Cosso

Claudio Fontana

Oleksii Mostovyi

Format Sitasi

APA MLA BibTeX

Chau, H.N., Cosso, A., Fontana, C., Mostovyi, O. (2015). Optimal investment with intermediate consumption under no unbounded profit with bounded risk. https://arxiv.org/abs/1509.01672

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Informasi Jurnal

Tahun Terbit: 2015
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓