Abstract

We investigate an optimal consumption and investment problem for Black-Scholes type financial market on the whole investment interval [0, T]. We formulate various utility maximization problem, which can be solved explicitly. The method of solution uses the convex dual function (Legendre transform) of the utility function. Related to this concept, we introduce and study the convex dual of the value function for our problem.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.