Duality for optimal consumption under no unbounded profit with bounded risk
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local) martingale deflators, we use a class of supermartingale deflators s...
| Main Author: | |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2022
|