Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
classification
💱 q-fin.PM
keywords
consumptionintermediateinvestmentnecessaryoptimalproblemsufficientassertions
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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
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