Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

DOI10.1214/105051605000000467zbMath1101.60026arXivmath/0602451MaRDI QIDQ2496494

Huyên Pham, Bruno Bouchard

Publication date: 10 July 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602451

zbMATH Keywords

financial markets with transaction costs; multivariate nonsmooth utility maximization; robust no-arbitrage; super-hedging theorem

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

Related Items

NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS, Multivariate utility maximization with proportional transaction costs, No-arbitrage in discrete-time markets with proportional transaction costs and general information structure, Constrained nonsmooth utility maximization without quadratic inf convolution

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