pith. sign in

arxiv: 1509.01672 · v5 · pith:T5OPDQ7Ynew · submitted 2015-09-05 · 💱 q-fin.PM · math.PR

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

classification 💱 q-fin.PM math.PR
keywords boundedconsumptionintermediateinvestmentoptimalprofitriskunbounded
0
0 comments X
read the original 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 (NUPBR) and of the finiteness of both primal and dual value functions.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.