Necessary and Sufficient Conditions in the Problem of Optimal Investment with Intermediate Consumption
We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and dua...
| Main Author: | |
|---|---|
| Format: | Others |
| Published: |
Research Showcase @ CMU
2012
|
| Subjects: | |
| Online Access: | http://repository.cmu.edu/dissertations/151 http://repository.cmu.edu/cgi/viewcontent.cgi?article=1152&context=dissertations |