Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

DOI10.1214/105051605000000467zbMath1101.60026arXivmath/0602451OpenAlexW2118034995MaRDI QIDQ2496494

Bruno Bouchard, Huyên Pham

Publication date: 10 July 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602451

zbMATH Keywords

financial markets with transaction costsmultivariate nonsmooth utility maximizationrobust no-arbitragesuper-hedging theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (5)

No-arbitrage in discrete-time markets with proportional transaction costs and general information structure ⋮ Optimal multivariate financial decision making ⋮ Multivariate utility maximization with proportional transaction costs ⋮ NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Constrained nonsmooth utility maximization without quadratic inf convolution

Cites Work

• Unnamed Item
• On utility maximization in discrete-time financial market models
• Choosing among alternative discrete investment projects under uncertainty
• A general version of the fundamental theorem of asset pricing
• Non-arbitrage criteria for financial markets with efficient friction
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Dual formulation of the utility maximization problem under transaction costs
• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• A Consumption–Investment Problem with Production Possibilities
• Convex Analysis

This page was built for publication: Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns