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

DOI10.1017/JPR.2017.29zbMath1416.91344arXiv1509.01672OpenAlexW2121692897MaRDI QIDQ4684884

Huy N. Chau, Claudio Fontana, Oleksii Mostovyi, Andrea Cosso

Publication date: 26 September 2018

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

Full work available at URL: https://arxiv.org/abs/1509.01672

zbMATH Keywords

incomplete marketduality theoryutility maximizationsemimartingalearbitrage of the first kindlocal martingale deflator

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (14)

Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ Optimal consumption of multiple goods in incomplete markets ⋮ Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality ⋮ A stochastic control perspective on term structure models with roll-over risk ⋮ Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Concavity, stochastic utility, and risk aversion ⋮ The value of informational arbitrage ⋮ Stability of the Indirect Utility Process ⋮ Duality for optimal consumption under no unbounded profit with bounded risk

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