An expansion in the model space in the context of utility maximization

DOI10.1007/s00780-017-0353-3zbMath1396.91692arXiv1410.0946OpenAlexW1599832812MaRDI QIDQ1709603

Peng Zhang

Publication date: 6 April 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.0946

zbMATH Keywords

second-order expansionincomplete marketsconvex dualityoptimal investmentcontinuous semimartingalespower utility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (8)

Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Approximate indifference pricing in exponential Lévy models ⋮ Trading with small nonlinear price impact ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Sensitivity of optimal consumption streams ⋮ Continuity of utility maximization under weak convergence

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