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Optimal consumption of multiple goods in incomplete markets

Published online by Cambridge University Press:  16 November 2018

Oleksii Mostovyi
Affiliation:
University of Connecticut
Corresponding

Abstract

We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for the existence and uniqueness of the solution, and provide a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustrate our results with examples in both complete and incomplete models. In particular, we construct closed-form solutions in some incomplete models.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2018 

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