Oleksii Mostovyi

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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.
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale, an explicit first-order expansion formula for the power investor's value function-seen as a function of the underlying market price of risk process-is provided and its second-order error is quantified. Two specific calibrated(More)
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