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

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  • Oleksii Mostovyi
Abstract
We consider a 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

Suggested Citation

  • Oleksii Mostovyi, 2011. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Papers 1107.5852, arXiv.org, revised Jul 2012.
    • Handle: RePEc:arx:papers:1107.5852
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    References listed on IDEAS

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    Cited by:

    1. Robert A. Jarrow & Martin Larsson, 2014. "Informational Efficiency under Short Sale Constraints," Papers 1401.1851, arXiv.org.
    2. Dmitry Kramkov, 2013. "Existence of an endogenously complete equilibrium driven by a diffusion," Papers 1304.3516, arXiv.org, revised Oct 2014.

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