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

Published online by Cambridge University Press:  15 September 2017

Huy N. Chau
Affiliation:
Hungarian Academy of Sciences
Andrea Cosso
Affiliation:
Politecnico di Milano
Claudio Fontana
Affiliation:
Paris Diderot University
Oleksii Mostovyi
Affiliation:
University of Connecticut

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.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2017 

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