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Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments

Foldes, Lucien (1992) Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments. Stochastics and Stochastic Reports, 41 (4). pp. 241-267. ISSN 1744-2508

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Abstract

The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio-cum-Saving Problem with Semimartingale Investments, Stochastics and Stochastics Reports 29 (1990), 133-171. In this model, the vector process representing returns to investments is a general semimartingale. Processes defining portfolio plans arc here required only to be predictable and non-negative. Existence of an optimal portfolio-cum-saving plan is proved under slight conditions of integrability imposed on the welfare functional; the proofs rely on properties of weak precompactness of portfolio and utility sequences in suitable Lp spaces together with dominated and monotone convergence arguments. Conditions are also obtained for the uniqueness of the portfolio plan generating a given returns process (i.e. for the uniqueness of the integrands generating a given sum of semimartingale integrals) and for the uniqueness of an optimal plan; here use is made of random measures associated with the jumps of a semimartingale

Item Type: Article
Official URL: http://www.informaworld.com/smpp/title~db=all~cont...
Additional Information: © 1992 Taylor & Francis
Library of Congress subject classification: H Social Sciences > HG Finance
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 29 May 2008 11:20
URL: http://eprints.lse.ac.uk/5153/

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