Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
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Publication:5388019
DOI10.1287/MOOR.1060.0220zbMATH Open1276.91051OpenAlexW2113043444MaRDI QIDQ5388019FDOQ5388019
Authors: Miklós Rásonyi, Laurence Carassus 
Publication date: 27 May 2008
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1060.0220
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Auctions, bargaining, bidding and selling, and other market models (91B26) Utility theory (91B16) Optimal stochastic control (93E20)
Cited In (19)
- On optimal investment for a behavioral investor in multiperiod incomplete market models
- Utility maximization problem with transaction costs: optimal dual processes and stability
- Influence of risk tolerance on long-term investments: a Malliavin calculus approach
- Utility maximization with proportional transaction costs under model uncertainty
- Maximization of nonconcave utility functions in discrete-time financial market models
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- Convergence of optimal strategies under proportional transaction costs
- Cooperative investment in incomplete markets under financial fairness
- Convergence of strategic behavior to price taking
- Monotone utility convergence
- 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
- Convergence of utility indifference prices to the superreplication price
- Convergence of utility indifference prices to the superreplication price: the whole real line case
- On utility maximization under model uncertainty in discrete‐time markets
- Stability of the exponential utility maximization problem with respect to preferences
- Convergence of utility functions and convergence of optimal strategies
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