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

作者：Mostovyi Oleksii^*

来源：Finance and Stochastics, 2015, 19(1): 135-159.

DOI：10.1007/s00780-014-0248-5

• Utility maximization
• Incomplete markets
• Duality theory
• Legendre-Fenchel transformation
• Stochastic clock

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.

• 出版日期2015-1