Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth)

Chapter Chapter 12 in Continuous-Time Asset Pricing Theory, 2021, pp 243-267 from Springer

Abstract: Abstract This chapter studies the investor’s optimization problem in an incomplete market where the investor has a utility function defined over both terminal wealth and intermediate consumption. The presentation parallels the portfolio optimization problem studied in Chap. 11 , and it is based on Jarrow (Quart J Finance8:33, 2017).

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-74410-6_12

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DOI: 10.1007/978-3-030-74410-6_12

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