The Opportunity Process for Optimal Consumption and Investment with Power Utility
AbstractWe study the utility maximization problem for power utility random fields in a semimartingale financial 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 problem. The results are applied to obtain monotonicity properties of the optimal consumption.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0912.1879.
Date of creation: Dec 2009
Date of revision: Jun 2010
Publication status: Published in Math. Financ. Econ., 3(3):139-159, 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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