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February, 1992 A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients
Gan-Lin Xu, Steven E. Shreve
Ann. Appl. Probab. 2(1): 87-112 (February, 1992). DOI: 10.1214/aoap/1177005772

Abstract

A continuous-time, consumption-investment problem on a finite horizon is considered for an agent seeking to maximize expected utility from consumption plus expected utility from terminal wealth. The agent is prohibited from selling stocks short, so the usual martingale methods for solving this problem do not directly apply. A dual problem is posed and solved, and the solution to the dual problem provides information about the existence and nature of the solution to the original problem.

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Gan-Lin Xu. Steven E. Shreve. "A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients." Ann. Appl. Probab. 2 (1) 87 - 112, February, 1992. https://doi.org/10.1214/aoap/1177005772

Information

Published: February, 1992
First available in Project Euclid: 19 April 2007

zbMATH: 0745.93083
MathSciNet: MR1143394
Digital Object Identifier: 10.1214/aoap/1177005772

Subjects:
Primary: 93E20
Secondary: 49B60 , 60G44 , 90A16

Keywords: Duality , martingale representation theorems , Portfolio and consumption processes , Stochastic control , utility functions

Rights: Copyright © 1992 Institute of Mathematical Statistics

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Vol.2 • No. 1 • February, 1992
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