STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

DOI10.1111/j.1467-9965.2010.00433.xzbMath1230.91075arXiv0706.0482MaRDI QIDQ3084602

Constantinos Kardaras, Gordan Žitković

Publication date: 25 March 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.0482

zbMATH Keywords

stability analysis; utility maximization; mathematical finance; convex analysis

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics

Related Items

Stability of the Indirect Utility Process, Optimal Investment with Time-Varying Stochastic Endowments, Stability of utility maximization in nonequivalent markets, Optimal investment and price dependence in a semi-static market, Adapted Wasserstein distances and stability in mathematical finance, Sensitivity analysis for expected utility maximization in incomplete Brownian market models, An example of a stochastic equilibrium with incomplete markets, Continuity of utility maximization under weak convergence, Utility maximization problem with transaction costs: optimal dual processes and stability, Risk aversion asymptotics for power utility maximization, BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS, STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES, OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT

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