Faculty in Mathematical Finance
Math Finance Home
Conferences
Seminars
People
Open Positions
Contact |
Probability and Computational Finance Seminar
Oleksii Mostovyi Carnegie Mellon University Title: Optimal investment with intermediate consumption and random endowment Abstract: We consider a problem of optimal investment with intermediate consumption and random endowment in incomplete markets. We establish the key assertions of the utility maximization theory assuming that both primal and dual value functions are finite in the interiors of their domains as well as that random endowment at maturity can be dominated by the terminal value of a self-financing wealth process. In order to facilitate verification of these conditions, we present alternative, but equivalent conditions, under which the conclusions of the theory hold. Date: Monday, September 19, 2011 Time: 5:00 pm Location: Wean Hall 6423 Submitted by: Dmitry Kramkov |