Optimal consumption from investment and random endowment in incomplete semimartingale markets.

DOI10.1214/aop/1068646367zbMath1076.91017arXiv0706.0051OpenAlexW2107436350MaRDI QIDQ1433880

Ioannis Karatzas, Gordan Žitković

Publication date: 1 July 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.0051

zbMATH Keywords

stochastic processesincomplete marketsconvex dualityrandom endowmentutility maximizationfinitely additive measures

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Portfolio theory (91G10)

Related Items (77)

Strong supermartingales and limits of nonnegative martingales ⋮ Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Optimal investment with random endowments in incomplete markets. ⋮ A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market ⋮ Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Indifference pricing for CRRA utilities ⋮ Informational Efficiency under Short Sale Constraints ⋮ Scheduling personal finances via integer programming ⋮ Consistent utility of investment and consumption: a forward/backward SPDE viewpoint ⋮ Many-player games of optimal consumption and investment under relative performance criteria ⋮ Stochastic programs without duality gaps ⋮ Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality ⋮ The existence of dominating local martingale measures ⋮ Convex compactness and its applications ⋮ The opportunity process for optimal consumption and investment with power utility ⋮ Duality for optimal consumption with randomly terminating income ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ Additive habit formation: consumption in incomplete markets with random endowments ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Financial Markets in the Context of the General Theory of Optional Processes ⋮ A strong law of large numbers for positive random variables ⋮ The Bellman equation for power utility maximization with semimartingales ⋮ Risk aversion asymptotics for power utility maximization ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ Explicit Description of HARA Forward Utilities and Their Optimal Portfolios ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes ⋮ State-dependent utilities and incomplete markets ⋮ Robust optimization of consumption with random endowment ⋮ Abstract, classic, and explicit turnpikes ⋮ Multivariate utility maximization with proportional transaction costs ⋮ Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization ⋮ Convex duality in optimal investment under illiquidity ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Finitely additive supermartingales ⋮ Stability of utility-maximization in incomplete markets ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ THE MEANING OF MARKET EFFICIENCY ⋮ Near-optimal asset allocation in financial markets with trading constraints ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS ⋮ Sensitivity of optimal consumption streams ⋮ Yan theorem in \(L^{\infty}\) with applications to asset pricing ⋮ POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS ⋮ Robust optimal control for a consumption-investment problem ⋮ Optimal portfolios in Lévy markets under state-dependent bounded utility functions ⋮ Explicit solutions of some utility maximization problems in incomplete markets ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment ⋮ Optimal Investment-consumption for Partially Observed Jump-diffusions ⋮ On utility maximization in discrete-time financial market models ⋮ Utility maximization with a stochastic clock and an unbounded random endowment ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ On the dual problem of utility maximization in incomplete markets ⋮ Portfolio choice under dynamic investment performance criteria ⋮ Portfolio optimization under shortfall risk constraint ⋮ Convergence in the Semimartingale Topology and Constrained Portfolios ⋮ Market Consistent Pricing of Insurance Products ⋮ Two-agent Pareto optimal cooperative investment in general semimartingale model ⋮ A computational scheme for the optimal strategy in an incomplete market ⋮ Optimal consumption and investment under partial information ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK ⋮ Conditional Davis pricing ⋮ A dual characterization of self-generation and exponential forward performances ⋮ Duality for optimal consumption under no unbounded profit with bounded risk ⋮ Utility maximization with addictive consumption habit formation in incomplete semimartingale markets ⋮ Constrained nonsmooth utility maximization on the positive real line ⋮ Facelifting in utility maximization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• A variational problem arising in financial economics
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• New proofs of a theorem of Komlós
• A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Convex duality in constrained portfolio optimization
• Optimization of consumption with labor income
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optional decompositions under constraints
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The existence of absolutely continuous local martingale measures
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Optimal Consumption by a Bond Investor: The Case of Random Interest Rate Adapted to a Point Process
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Convex Analysis
• A generalization of a problem of Steinhaus
• Finitely Additive Measures
• Utility maximization in incomplete markets with random endowment
• A filtered version of the bipolar theorem of Brannath and Schachermayer

This page was built for publication: Optimal consumption from investment and random endowment in incomplete semimartingale markets.