Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns (Q2496494)

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Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
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    Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns (English)
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    10 July 2006
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    The authors consider a general discrete-time market with proportional transaction costs as by \textit{Y. Kabanov, C. Stricker} and \textit{M. Rásonyi} [Finance Stoch. 7, 403--411 (2003; Zbl 1064.60085)] and \textit{W. Schachermayer} [Math. Finance 14, 19--48 (2004; Zbl 1119.91046)]. In the present paper, a robust no-arbitrage property (stronger than the usual notion of no-arbitrage) is imposed, which was introduced by Schachermayer (loc. cit.) and further studied by Kabanov et al. (loc. cit.). Furthermore it is assumed that the financial agent can invest part of its wealth in nonfinancial assets, e.g., industrial projects, also subject to proportional transaction costs but yielding nonlinear returns. The latter assumption implies e.g., that the set \(A_T(0)\) of attainable claims with zero initial endowment is not a cone. The principal aim is to show that existence holds in the utility maximization problem. The proof of this, which is much more difficult than in the one-dimensional case, is achieved by introducing some auxiliary primal problem.
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    financial markets with transaction costs
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    robust no-arbitrage
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    super-hedging theorem
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    multivariate nonsmooth utility maximization
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