Optimal consumption and arbitrage in incomplete, finite state security markets
type: Item
instance of: scholarly article
title: Optimal consumption and arbitrage in incomplete, finite state security markets
zbMATH Open document ID: 0806.90005
DOI: 10.1007/BF02282058
author: Hiroshi Shirakawa
author: Hiromichi Kassai
published in: Annals of Operations Research
publication date: 1994-02-09T00:00:00Z
review text: The paper introduces a discrete time, finite horizon and finite security market models, and formulates the optimal consumption and portfolio selection problem. Necessary and sufficient budget feasibility conditions are derived in order to guarantee attainability of a consumption process by an admissible portfolio process. Existence of a unique optimal primal control process is established under primal and dual feasibility. The duality between the original consumption and portfolio selection problem and its associated dual problem is demonstrated. As opposed to \textit{J. Cvitanic} and \textit{I. Karantzas} [Ann. Appl. Prob. 2, No. 4, 767-818 (1992)], who impose an investment rate restriction, the present paper employs restrictions on the stock investment amount.
reviewed by: Steffen Jørgensen
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 93C95
zbMATH DE Number: 490529
zbMATH Keywords: discrete time
zbMATH Keywords: finite horizon
zbMATH Keywords: finite security market models
zbMATH Keywords: optimal consumption and portfolio selection
zbMATH Keywords: unique optimal primal control process
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 490529