Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Portfolio Management
2012-07-17 v3
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
Keywords
Cite
@article{arxiv.1107.5852,
title = {Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption},
author = {Oleksii Mostovyi},
journal= {arXiv preprint arXiv:1107.5852},
year = {2012}
}
Comments
In this version the no-arbitrage assumption is changed from M\neq \emptyset, where M denotes the set of locally equivalent martingale measures, to Z\neq \emptyset, where Z denotes the set of equivalent martingale deflators