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High-Order Expansions of the Optimizer Map via Bell Polynomials

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  • Oleksii Mostovyi
  • Thaleia Zariphopoulou

Abstract

Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility functions used in mathematical finance, such as power and exponential utilities. In stochastically dominant markets, their Bernstein representation induces a hidden linear structure in the dual optimization problem that serves as the foundation for the present analysis. In this paper, we investigate the sensitivity of optimal investment with respect to perturbations of investor preferences within the CMIM class. Exploiting Bernstein's representation theorem, we show that, under stochastic dominance, affine perturbations of Bernstein measures induce an affine representation of the dual value function. As a result, the dependence of the optimization problem on preferences can be analyzed through a scalar budget equation, allowing us to prove analyticity of the associated Lagrange multiplier with respect to the perturbation parameter and to derive convergent analytic expansions of arbitrary order for the primal value function and the optimal terminal wealth, with explicit recursive formulas expressed through Bell polynomials.

Suggested Citation

  • Oleksii Mostovyi & Thaleia Zariphopoulou, 2026. "High-Order Expansions of the Optimizer Map via Bell Polynomials," Papers 2608.08900, arXiv.org.
  • Handle: RePEc:arx:papers:2608.08900
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    File URL: https://arxiv.org/pdf/2608.08900
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