Necessary and Sufficient Conditions in the Problem of Optimal Investment with Intermediate Consumption

2012-01-01T00:00:00Z (GMT) by Oleksii Mostovyi

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 dual problems are finite.