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

DOI10.1111/J.1467-9965.2010.00433.XMaRDI QIDQ3084602zbMATH OpenOpenAlexFDO

Authors 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

convex analysisstability analysisutility maximizationmathematical finance

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

Abstract: We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well-posed, in the sense the optimal wealth and the marginal utility-based prices are continuous functionals of preferences and probabilistic views.

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Cited in

(17)

• Utility maximization problem with transaction costs: optimal dual processes and stability
• Optimal investment with time-varying stochastic endowments
• Stability of utility maximization in nonequivalent markets
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
• Continuity of utility maximization under weak convergence
• Risk aversion asymptotics for power utility maximization
• Behavioral portfolio selection: asymptotics and stability along a sequence of models
• Sensitivity analysis for expected utility maximization in incomplete Brownian market models
• The stability of the constrained utility maximization problem: a BSDE approach
• Optimal investment and price dependence in a semi-static market
• Stability of the Epstein-Zin problem
• An example of a stochastic equilibrium with incomplete markets
• Adapted Wasserstein distances and stability in mathematical finance
• Stability of utility-maximization in incomplete markets
• Stability of the indirect utility process
• Stability of the exponential utility maximization problem with respect to preferences
• Optimal investment with intermediate consumption and random endowment

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