Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
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Publication:2182639
DOI10.1016/j.spa.2020.01.003zbMath1443.91276arXiv1805.11427OpenAlexW3006049492MaRDI QIDQ2182639
Publication date: 26 May 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.11427
sensitivity analysisutility maximizationenvelope theoremnuméraireSherman-Morrison formulasemimartingale characteristics
Related Items (5)
Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition ⋮ Fair pricing and hedging under small perturbations of the numéraire on a finite probability space ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space ⋮ Stability of the Indirect Utility Process
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