Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Tuesday, January 31, 2012 at 11:00am - 12:00pm

Speaker: Oleksii Mostovyi, Carnegie Mellon University

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.

Speaker: Oleksii Mostovyi, Carnegie Mellon University

Location   Hill 705