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On the Stability of Utility Maximization Problems

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  • Erhan Bayraktar
  • Ross Kravitz

Abstract

In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the stopping time $\tau$. To establish our results, we extend the classical results of convex analysis to maps from $L^0$ to $L^0$. The notion of convex compactness introduced in [7] plays an important role in our analysis.

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File URL: http://arxiv.org/pdf/1010.4322
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 1010.4322.

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Date of creation: Oct 2010
Date of revision: Mar 2011
Handle: RePEc:arx:papers:1010.4322

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Web page: http://arxiv.org/

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