OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT

DOI10.1111/mafi.12089zbMath1391.91149arXiv1110.2573OpenAlexW2096952479MaRDI QIDQ2968275

Oleksii Mostovyi

Publication date: 13 March 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2573

zbMATH Keywords

incomplete marketsconvex dualityrandom endowmentutility maximizationoptimal investmentstochastic clock

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (12)

Competition in Fund Management and Forward Relative Performance Criteria ⋮ Optimal consumption of multiple goods in incomplete markets ⋮ On utility maximization without passing by the dual problem ⋮ Optimal Investment with Time-Varying Stochastic Endowments ⋮ Duality for optimal consumption with randomly terminating income ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Optimal investment and price dependence in a semi-static market ⋮ Sensitivity of optimal consumption streams ⋮ Concavity, stochastic utility, and risk aversion ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK

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