Differentiability of the value function in the robust utility maximization problem

DOI10.1137/S0040585X97985431zbMATH Open1258.91061OpenAlexW2001990530MaRDI QIDQ4905018FDOQ4905018

Authors I. S. Morozov

Publication date 14 February 2013

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97985431

zbMATH Keywords

powerdifferentiability of value functionexponential or logarithmic utility functionsrobust utility maximization problem

Mathematics Subject Classification ID

Utility theory (91B16)

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Cited in

(2)

• On robustness of set-valued maps and marginal value functions
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets

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