Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Details Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

2011-07-29

arxiv.org/abs/1107.5852v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

We consider several problems of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. Our goal is to find minimal conditions on the model and the utility stochastic field for the validity of several key assertions of the theory to hold true. We show that a necessary and sufficient condition on both the utility stochastic field and the model is that the value functions of the primal and dual problems are finite.

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