Carnegie Mellon University
Browse
Necessary and Sufficient Conditions in the Problem of Optimal Inv.pdf (192.71 kB)

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

Download (192.71 kB)
thesis
posted on 2012-01-01, 00:00 authored 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.

History

Date

2012-01-01

Degree Type

  • Dissertation

Department

  • Mathematical Sciences

Degree Name

  • Doctor of Philosophy (PhD)

Advisor(s)

Dmitry Kramkov

Usage metrics

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC