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Optimal Investment With Intermediate Consumption And Random Endowment

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  • Oleksii Mostovyi

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  • Oleksii Mostovyi, 2017. "Optimal Investment With Intermediate Consumption And Random Endowment," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 96-114, January.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:1:p:96-114
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-1
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    Cited by:

    1. Fontana, Claudio & Runggaldier, Wolfgang J., 2021. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 66-80.
    2. Robert Jarrow & Siguang Li, 2021. "Concavity, stochastic utility, and risk aversion," Finance and Stochastics, Springer, vol. 25(2), pages 311-330, April.
    3. Michail Anthropelos & Tianran Geng & Thaleia Zariphopoulou, 2020. "Competition in Fund Management and Forward Relative Performance Criteria," Papers 2011.00838, arXiv.org.
    4. Oleksii Mostovyi, 2017. "Optimal consumption of multiple goods in incomplete markets," Papers 1705.02291, arXiv.org, revised Jan 2018.
    5. Jia Yue & Ming-Hui Wang & Nan-Jing Huang, 2022. "Global Optimal Consumption–Portfolio Rules with Myopic Preferences and Loss Aversion," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1427-1455, December.
    6. Fontana, Claudio, 2018. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1007-1033.
    7. Ashley Davey & Michael Monoyios & Harry Zheng, 2021. "Duality for optimal consumption with randomly terminating income," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1275-1314, October.
    8. Herdegen, Martin & Muhle-Karbe, Johannes, 2019. "Sensitivity of optimal consumption streams," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 1964-1992.
    9. Michael Monoyios, 2020. "Duality for optimal consumption under no unbounded profit with bounded risk," Papers 2006.04687, arXiv.org, revised Dec 2021.

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