Sensitivity analysis for expected utility maximization in incomplete Brownian market models
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Publication:1648899
DOI10.1007/s11579-017-0209-9zbMath1397.91545arXiv1504.02734OpenAlexW2963134842MaRDI QIDQ1648899
Publication date: 5 July 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.02734
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (6)
Convergence of optimal expected utility for a sequence of binomial models ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Continuity of utility maximization under weak convergence ⋮ Robust Utility Maximization without Model Compactness
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