Stability of exponential utility maximization with respect to market perturbations
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- Erhan Bayraktar & Ross Kravitz, 2011. "Stability of exponential utility maximization with respect to market perturbations," Papers 1107.2716, arXiv.org, revised Dec 2012.
References listed on IDEAS
- Freddy Delbaen & Peter Grandits & Thorsten Rheinländer & Dominick Samperi & Martin Schweizer & Christophe Stricker, 2002. "Exponential Hedging and Entropic Penalties," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 99-123.
- 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.
- Marcel Nutz, 2009. "The Opportunity Process for Optimal Consumption and Investment with Power Utility," Papers 0912.1879, arXiv.org, revised Jun 2010.
- Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997. "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, vol. 1(3), pages 181-227.
- Marie-Amélie Morlais, 2009. "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, vol. 13(1), pages 121-150, January.
- Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
- Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
- Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xing, Hao, 2017. "Stability of the exponential utility maximization problem with respect to preferences," LSE Research Online Documents on Economics 57213, London School of Economics and Political Science, LSE Library.
- Hao Xing, 2012. "Stability of the exponential utility maximization problem with respect to preferences," Papers 1205.6160, arXiv.org, revised Sep 2013.
- Kim Weston, 2014. "Stability of Utility Maximization in Nonequivalent Markets," Papers 1410.0915, arXiv.org, revised Jun 2015.
- Lingqi Gu & Yiqing Lin & Junjian Yang, 2017. "Utility maximization problem under transaction costs: optimal dual processes and stability," Papers 1710.04363, arXiv.org.
More about this item
KeywordsUtility maximization on the real line; Continuous semi-martingales; Stability with respect to market price of risk; bmo martingales; V-compactness;
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