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CCF 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