We generalize the results of Mostovyi (2015) on the problem of optimal investment with intermediate consumption in a general semimartingale setting. We show that the  no unbounded profit with bounded risk condition suffices to establish the key duality relations of utility maximization and , moreover, represents the minimal no-arbitrage-type assumption .
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by utility stochastic fields. By building on the results of Mostovyi (2015), we show that the key duality relations of the utility maximization theory hold under the minimal assumptions of no unbounded profit with bounded risk (NUPBR) and of the finiteness of both primal and dual value functions .
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generalize the results of Mostovyi (2015) on the
consider the
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setting. We
model of an incomplete market, with preferences being represented by utility stochastic fields. By building on the results of Mostovyi (2015), we
A
key duality relations of the utility maximization theory hold under the minimal assumptions of
R
condition suffices to establish the key duality relations of utility maximization and , moreover, represents the minimal no-arbitrage-type assumption
(NUPBR) and of the finiteness of both primal and dual value functions