具有中间消费的最优投资问题中的必要与充分条件
投资组合管理
2012-07-17 v3
摘要
我们在金融市场的不完全半鞅模型框架下，考虑一个具有中间消费的最优投资问题。我们证明，该理论关键断言成立的一个必要且充分条件是原始问题和对偶问题的值函数是有限的。
引用
@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}
}
备注
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