• Event Date: January 31, 2012
  • Event End Date: January 31, 2012
  • Event Start Time: 11:00 AM
  • Event End Time: 12:00 PM
  • Event Location: Hill 705
  • Event Type: Mathematical Finance and Probability Seminars
  • Extra Info: 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