Stability of the indirect utility process
From MaRDI portal
Publication:4999900
Abstract: We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect-utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.
Recommendations
- Stability of exponential utility maximization with respect to market perturbations
- Stability of utility maximization in nonequivalent markets
- Shadow prices for continuous processes
- Stability of utility-maximization in incomplete markets
- Utility maximization problem with transaction costs: optimal dual processes and stability
Cites work
- scientific article; zbMATH DE number 3852087 (Why is no real title available?)
- scientific article; zbMATH DE number 3673192 (Why is no real title available?)
- scientific article; zbMATH DE number 3757440 (Why is no real title available?)
- scientific article; zbMATH DE number 5499205 (Why is no real title available?)
- A Fenchel-Moreau theorem for $\bar L^0$-valued functions
- A class of homothetic forward investment performance processes with non-zero volatility
- A general version of the fundamental theorem of asset pricing
- A non-compact minimax theorem
- A noncompact topological minimax theorem
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Continuous-time asset pricing theory. A martingale-based approach
- Continuous-time stochastic control and optimization with financial applications
- Convex Analysis
- Convex duality for stochastic singular control problems
- Interchanging the order of differentiation and stochastic integration
- M6—On Minimal Market Models and Minimal Martingale Measures
- Maturity-Independent Risk Measures
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- Optional decomposition for continuous semimartingales under arbitrary filtrations
- Optional decompositions under constraints
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations
- Stability of exponential utility maximization with respect to market perturbations
- Stability of utility-maximization in incomplete markets
- The Banach space of workable contingent claims in arbitrage theory
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The numéraire portfolio in semimartingale financial models
This page was built for publication: Stability of the indirect utility process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4999900)
