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.
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Optimal consumption of multiple goods in incomplete markets
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for the existence and uniqueness of the solution, and provide a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustrate our results with examples in both complete and incomplete models. In particular, we construct closed-form solutions in some incomplete models.
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- Award ID(s):
- 1600307
- NSF-PAR ID:
- 10079820
- Date Published:
- Journal Name:
- Journal of Applied Probability
- Volume:
- 55
- Issue:
- 3
- ISSN:
- 0021-9002
- Page Range / eLocation ID:
- 810 - 822
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
-
Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1017/jpr.2018.51
