Optimal investment with intermediate consumption and random endowment

Details Optimal investment with intermediate consumption and random endowment Optimal investment with intermediate consumption and random endowment

2011-10-12

arxiv.org/abs/1110.2573v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

In this paper we study several classical problems of optimal investment with intermediate consumption and random endowment in incomplete markets. We establish the key assertions of the utility maximization theory assuming that both primal and dual value functions are finite in the interiors of their domains as well as that random endowment at maturity can be dominated by the terminal value of a self-financing wealth process. In order to facilitate verification of these conditions, we present alternative, but equivalent conditions, under which the conclusions of the theory hold.

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