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Finance and Stochastics

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01-01-2015

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Author: Oleksii Mostovyi

Published in: Finance and Stochastics | Issue 1/2015

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Abstract

We consider the 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.

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Title: Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Author: Oleksii Mostovyi
Publication date: 01-01-2015
Publisher: Springer Berlin Heidelberg
Published in: Finance and Stochastics / Issue 1/2015
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-014-0248-5

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