Sensitivity analysis of utility-based prices and risk-tolerance wealth processes

DOI10.1214/105051606000000529zbMath1132.91426arXivmath/0702413MaRDI QIDQ997422

Mihai Sîrbu, Dmitry Kramkov

Publication date: 6 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702413

zbMATH Keywords

hedging; incomplete markets; random endowment; utility maximization; risk-aversion; stochastic dominance; contingent claim; risk-tolerance; utility-based valuation

Mathematics Subject Classification ID

90C26: Nonconvex programming, global optimization

91B16: Utility theory

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Modeling non-monotone risk aversion using SAHARA utility functions, Optimal static-dynamic hedges for exotic options under convex risk measures, On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets, In which financial markets do mutual fund theorems hold true?, Portfolios and risk premia for the long run, Asymptotic analysis of utility-based hedging strategies for small number of contingent claims, Corrections to the Prices of Derivatives due to Market Incompleteness, STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS, Variance-Optimal Hedging in General Affine Stochastic Volatility Models, ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS, UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

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