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

Abstract

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 (NUPBR) and of the finiteness of both primal and dual value functions.

arXiv comment10 pages, revised version, to appear in the Applied Probability Journals

References in corpus (5)

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• On the closure in the Emery topology of semimartingale wealth-process sets
• On utility maximization under convex portfolio constraints
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Cited by in corpus (5)

• A stochastic control perspective on term structure models with roll-over risk
• On optimal investment with processes of long or negative memory
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• On the analyticity of the value function in optimal investment and stochastically dominant markets
• Infinite horizon utility maximisation from inter-temporal wealth