Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
type: Item
instance of: scholarly article
title: Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
zbMATH Open document ID: 1309.91134
author: Oleksii Mostovyi
published in: Finance and Stochastics
publication date: 2015-01-19T00:00:00Z
full work available at URL: https://arxiv.org/abs/1107.5852
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6387650
zbMATH Keywords: utility maximization
zbMATH Keywords: incomplete markets
zbMATH Keywords: duality theory
zbMATH Keywords: Legendre-Fenchel transformation
zbMATH Keywords: stochastic clock
MaRDI profile type: Publication
OpenAlex ID: W2114841244
arXiv ID: 1107.5852
cites work: A short proof of the Doob-Meyer theorem
cites work: Optimal investment decisions when time-horizon is uncertain
cites work: Q5436596
cites work: Wealth-path dependent utility maximization in incomplete markets
cites work: Q4938954
cites work: Optimal consumption strategies under model uncertainty
cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process
cites work: A variational problem arising in financial economics
cites work: A general version of the fundamental theorem of asset pricing
cites work: The fundamental theorem of asset pricing for unbounded stochastic processes
cites work: Optional decompositions under constraints
cites work: A complete explicit solution to the log-optimal portfolio problem.
cites work: Robust utility maximization for complete and incomplete markets
cites work: Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
cites work: Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
cites work: Q3774629
cites work: Optimization Problems in the Theory of Continuous Trading
cites work: The numéraire portfolio in semimartingale financial models
cites work: Q4368791
cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets.
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: Asymptotics of robust utility maximization
cites work: A generalization of a problem of Steinhaus
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
cites work: Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Robust utility maximization with unbounded random endowment
cites work: Q4435813
cites work: Convex Analysis
cites work: Duality theory for optimal investments under model uncertainty
cites work: New proofs of a theorem of Komlós
cites work: Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
cites work: Q4213413
cites work: Utility maximization with a stochastic clock and an unbounded random endowment
cites work: Robust optimization of consumption with random endowment
DOI: 10.1007/S00780-014-0248-5
description: scientific article