Optimal investment and consumption with labor income in incomplete markets

DOI10.1214/19-AAP1514zbMath1447.91162arXiv1806.05901OpenAlexW3033857830MaRDI QIDQ2192739

Mihai Sîrbu, Oleksii Mostovyi

Publication date: 17 August 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.05901

zbMATH Keywords

duality theoryutility maximizationlabor incomeoptional supermartingale deflatorsemimartingale incomplete market

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Competition in Fund Management and Forward Relative Performance Criteria ⋮ Optimal Investment with Time-Varying Stochastic Endowments ⋮ Duality for optimal consumption with randomly terminating income

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