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Title: Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Abstract We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility maximization theory hold under the assumptions of no unbounded profit with bounded risk and of the finiteness of both primal and dual value functions.  more » « less
Award ID(s):
1600307
PAR ID:
10049462
Author(s) / Creator(s):
; ; ;
Date Published:
Journal Name:
Journal of Applied Probability
Volume:
54
Issue:
03
ISSN:
0021-9002
Page Range / eLocation ID:
710 to 719
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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