OPTIMAL INVESTMENT AND CONSUMPTION WITH LABOR INCOME IN INCOMPLETE MARKETS

• 成果类型: Article
• 署名作者: Mostovyi, Oleksii; Sirbu, Mihai
• 署名单位: University of Connecticut; University of Texas System; University of Texas Austin
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1514
• 发表日期: 2020
• 页码: 747-787
• 关键词: utility maximization; fundamental theorem; Contingent claims; convex duality; emery topology; Supermartingales; optimization; arbitrage; portfolio

摘要

We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or some) previous times. Under very general conditions, we show that an optimal consumption and investment plan exists and is unique, and provide a dual characterization in terms of an optional strong supermartingale deflator and a decreasing part, which charges only the times when the no-borrowing constraint is binding. The analysis relies on the infinite-dimensional parametrization of the income/liability streams and, therefore, provides the first-order dependence of the optimal investment and consumption plans on future income/liabilities (as well as a pricing rule).