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2 results

Optimal consumption of multiple goods in incomplete markets
Part of
- Mathematical finance
- Stochastic systems and control
Oleksii Mostovyi
Journal:

Journal of Applied Probability / Volume 55 / Issue 3 / September 2018

Published online by Cambridge University Press:

16 November 2018, pp. 810-822

Print publication:

September 2018
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We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for the existence and uniqueness of the solution, and provide a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustrate our results with examples in both complete and incomplete models. In particular, we construct closed-form solutions in some incomplete models.

Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Part of
- Stochastic systems and control
- Mathematical finance
Huy N. Chau, Andrea Cosso, Claudio Fontana, Oleksii Mostovyi
Journal:

Journal of Applied Probability / Volume 54 / Issue 3 / September 2017

Published online by Cambridge University Press:

15 September 2017, pp. 710-719

Print publication:

September 2017
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We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility maximization theory hold under the assumptions of no unbounded profit with bounded risk and of the finiteness of both primal and dual value functions.

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2 results

Optimal consumption of multiple goods in incomplete markets

Optimal investment with intermediate consumption under no unbounded profit with bounded risk