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
thesis
posted on 2012-01-01, 00:00 authored by Oleksii MostovyiWe 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
2012-01-01Degree Type
- Dissertation
Department
- Mathematical Sciences
Degree Name
- Doctor of Philosophy (PhD)