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Finance and Stochastics
Erschienen in: Finance and Stochastics 1/2015

01.01.2015

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

verfasst von: Oleksii Mostovyi

Erschienen in: Finance and Stochastics | Ausgabe 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.
Vorheriger Artikel Portfolio optimization with insider’s initial information and counterparty risk
Nächster Artikel Optimal investment and price dependence in a semi-static market

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Metadaten
Titel
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
verfasst von
Oleksii Mostovyi
Publikationsdatum
01.01.2015
Verlag
Springer Berlin Heidelberg
Erschienen in
Finance and Stochastics / Ausgabe 1/2015
Print ISSN: 0949-2984
Elektronische ISSN: 1432-1122
DOI
https://doi.org/10.1007/s00780-014-0248-5

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