Duality for optimal consumption with randomly terminating income

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...

书目详细资料
Main Authors:	Davey, A, Monoyios, M, Zheng, H
格式:	Journal article
语言:	English
出版:	Wiley 2021

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