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Article Dans Une Revue Journal of Applied Probability Année : 2017

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

Huy Chau
  • Fonction : Auteur
Andrea Cosso
  • Fonction : Auteur
Oleksii Mostovyi
  • Fonction : Auteur

Résumé

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.

Dates et versions

hal-03944412 , version 1 (18-01-2023)

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Huy Chau, Andrea Cosso, Claudio Fontana, Oleksii Mostovyi. Optimal investment with intermediate consumption under no unbounded profit with bounded risk. Journal of Applied Probability, 2017, 54 (3), pp.710-719. ⟨10.1017/jpr.2017.29⟩. ⟨hal-03944412⟩
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