摘要翻译:
在金融市场的一个不完全半鞅模型中,考虑了具有中间消费和随机禀赋的最优投资问题。我们建立了效用最大化理论的关键断言,假定原始价值函数和对偶价值函数在其域内都是有限的,以及在成熟时的随机禀赋可以由一个自筹资财富过程的最终价值支配。为了便于验证这些条件,我们提出了替代的但等价的条件,在这些条件下理论的结论成立。
---
英文标题:
《Optimal investment with intermediate consumption and random endowment》
---
作者:
Oleksii Mostovyi
---
最新提交年份:
2012
---
分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Portfolio Management 项目组合管理
分类描述:Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
---
英文摘要:
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that both primal and dual value functions are finite in the interiors of their domains as well as that random endowment at maturity can be dominated by the terminal value of a self-financing wealth process. In order to facilitate verification of these conditions, we present alternative, but equivalent conditions, under which the conclusions of the theory hold.
---
PDF链接:
https://arxiv.org/pdf/1110.2573