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

Huy N. Chau; Andrea Cosso; Claudio Fontana; Oleksii Mostovyi

doi:10.1017/jpr.2017.29

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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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 and of the finiteness of both primal and dual value functions.

Original language	English
Pages (from-to)	710-719
Number of pages	10
Journal	Journal of Applied Probability
Volume	54
Issue number	3
DOIs	https://doi.org/10.1017/jpr.2017.29
Publication status	Published - 1 Sept 2017

Keywords

arbitrage of the first kind
duality theory
incomplete market
local martingale deflator
semimartingale
Utility maximization

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10.1017/jpr.2017.29

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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 and of the finiteness of both primal and dual value functions.",

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

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Keywords

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