Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
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Publication:486932
DOI10.1007/S00780-014-0248-5zbMATH Open1309.91134OpenAlexW2114841244MaRDI QIDQ486932FDOQ486932
Authors: Oleksii Mostovyi 
Publication date: 19 January 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
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
Full work available at URL: https://arxiv.org/abs/1107.5852
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