Duality for optimal consumption with randomly terminating income
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that can terminate randomly at an exponentially distributed time, independent of the asset prices. We thus close a duality g...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Wiley
2021
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