STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
From MaRDI portal
Publication:3084602
DOI10.1111/J.1467-9965.2010.00433.XzbMATH Open1230.91075arXiv0706.0482OpenAlexW2142366343MaRDI QIDQ3084602FDOQ3084602
Authors: Constantinos Kardaras, Gordan Žitković 
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0706.0482
Recommendations
- Stability of utility-maximization in incomplete markets
- Utility maximization in incomplete markets with random endowment
- Stability of utility maximization in nonequivalent markets
- Stability of exponential utility maximization with respect to market perturbations
- Stability of the exponential utility maximization problem with respect to preferences
- A note on utility maximization with unbounded random endowment
- Robust utility maximization with unbounded random endowment
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- On the existence and stability of solutions to stochastic equilibrium problems
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)
Cites Work
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Title not available (Why is that?)
- Probability with Martingales
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Optimal investment with random endowments in incomplete markets.
- Stability of utility-maximization in incomplete markets
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- A variational problem arising in financial economics
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- When does convergence of asset price processes imply convergence of option prices?
- Convergence of utility functions and convergence of optimal strategies
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- The Banach space of workable contingent claims in arbitrage theory
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
- Stability of the Epstein-Zin problem
- Optimal investment and price dependence in a semi-static market
- An example of a stochastic equilibrium with incomplete markets
- Adapted Wasserstein distances and stability in mathematical finance
- Stability of the indirect utility process
- Stability of utility-maximization in incomplete markets
- Stability of the exponential utility maximization problem with respect to preferences
- Optimal investment with intermediate consumption and random endowment
This page was built for publication: STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3084602)
