XVII Workshop on Quantitative Finance -- Session on OPTIMIZATION (Aula Bianchi)
speaker: Andrea Cosso
speaker: Claudio Fontanari (Università degli studi di Trento )
speaker: Oleksii Mostovyl
timetable:
Thu 28 Jan, 15:00 - 17:00, Aula Bianchi Scienze
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communication: OPTIMIZATION: Optimal investment with intermediate consumption under no unbounded profits with bounded risk
speaker: Huy N. Chauspeaker: Andrea Cosso
speaker: Claudio Fontanari (Università degli studi di Trento )
speaker: Oleksii Mostovyl
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 utility stochastic fields. By building on the results of Mostovyi (2015), we show that the key duality relations of the utility maximization theory hold under the minimal assumptions of no unbounded profit with bounded risk (NUPBR) and of the finiteness of both primal and dual value functions.
timetable:
Thu 28 Jan, 15:00 - 17:00, Aula Bianchi Scienze
<< Go back