Optimal consumption of multiple goods in incomplete markets
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Publication:4555291
DOI10.1017/jpr.2018.51zbMath1417.91472arXiv1705.02291OpenAlexW3122470602WikidataQ128913852 ScholiaQ128913852MaRDI QIDQ4555291
Publication date: 19 November 2018
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.02291
incomplete marketduality theoryutility maximizationsemimartingaleoptimal consumptionarbitrage of the first kindoptimal investmentlocal martingale deflatorno unbounded profit with bounded riskmultiple goods
Generalizations of martingales (60G48) Optimal stochastic control (93E20) Duality theory (optimization) (49N15) Portfolio theory (91G10)
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