CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
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Publication:3393970
DOI10.1111/j.1467-9965.2009.00365.xzbMath1168.91349OpenAlexW2100030556MaRDI QIDQ3393970
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Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00365.x
expected utility theorymarket price of risk processcontinuous semi-martingalesstability of optimizers
Related Items (15)
Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ Risk aversion asymptotics for power utility maximization ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ On utility maximization under convex portfolio constraints ⋮ Risk-averse asymptotics for reservation prices ⋮ Optimal portfolio choice with wash sale constraints ⋮ Optimal investment and price dependence in a semi-static market ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ Continuity of utility maximization under weak convergence ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS ⋮ Conditional Davis pricing ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Duality for optimal consumption under no unbounded profit with bounded risk
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