The opportunity process for optimal consumption and investment with power utility
نویسندگان
چکیده
منابع مشابه
The Opportunity Process for Optimal Consumption and Investment with Power Utility
We study the utility maximization problem for power utility random elds in a semimartingale nancial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value process of the resulting stochastic control problem. We show how the opportunity process describes the key objects: optimal strategy, value function, and dual probl...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2010
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-010-0031-0