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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.

Suggested Citation

  • Erhan Bayraktar & Ross Kravitz, 2010. "On the Stability of Utility Maximization Problems," Papers 1010.4322, arXiv.org, revised Mar 2011.
    • Handle: RePEc:arx:papers:1010.4322
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    File URL: http://arxiv.org/pdf/1010.4322
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    References listed on IDEAS

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    1. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
    2. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
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    Cited by:

    1. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
    2. Oleksii Mostovyi, 2020. "Stability of the indirect utility process," Papers 2002.09445, arXiv.org.

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