Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
复制标题
中间消耗最优投资问题的充要条件
DOI：
10.1007/s00780-014-0248-5
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发表时间：
2011
影响因子：
1.7
通讯作者：
Oleksii Mostovyi
中科院分区：
文献类型：
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作者：
Oleksii Mostovyi
在金融市场的不完全半鞅模型框架下，研究了具有中间消费的最优投资问题。证明了该理论关键论断的有效性的充分必要条件是原问题和对偶问题的值函数是有限的。
We consider the 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 dual problems are finite.