Optimal consumption from investment and random endowment in incomplete semimartingale markets

• 成果类型: Article
• 署名作者: Karatzas, I; Zikovic, G
• 署名单位: Columbia University; Columbia University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2003
• 页码: 1821-1858
• 关键词: PORTFOLIO POLICIES; Contingent claims; bipolar theorem; constraints; martingale; prices

摘要

We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of asymptotic elasticity of Kramkov and Schachermayer is extended to the time-dependent case. By imposing no smoothness requirements on the utility function in the temporal argument, we can treat both pure consumption and combined consumption-terminal wealth problems in a common framework. To make the duality approach possible, we provide a detailed characterization of the enlarged dual domain which is reminiscent of the enlargement of L-1 to its topological bidual (L-infinity)*, a space of finitely additive measures. As an application, we treat a constrained Ito process market model, as well as a totally incomplete model.