Stability of the exponential utility maximization problem with respect to preferences

DOI10.1111/MAFI.12073MaRDI QIDQ2968273zbMATH OpenOpenAlexWikidataFDO

Authors Hao Xing

Publication date 13 March 2017

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.6160, http://eprints.lse.ac.uk/57213/

zbMATH Keywords

exponential utilitysemimartingalesstabilityutility maximizationutility-based prices

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Abstract: This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a sequence of utilities defined on R converges to the exponential utility. Under a uniform condition on their marginal utilities, convergence of value functions, optimal payoffs and optimal investment strategies are obtained, their rate of convergence are also determined. Stability of utility-based pricing is studied as an application. Second, a sequence of utilities defined on R_+ converges to the exponential utility after shifting and scaling. Their associated optimal strategies, after appropriate scaling, converge to the optimal strategy for the exponential hedging problem. This complements Theorem 3.2 in extit{M. Nutz, Probab. Theory Relat. Fields, 152, 2012}, which establishes the convergence for a sequence of power utilities.

Recommendations

• Stability of exponential utility maximization with respect to market perturbations
• Stability of utility maximization in nonequivalent markets
• Convergence of utility functions and convergence of optimal strategies
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• On convergence to the exponential utility problem

Cites work

• Abstract, classic, and explicit turnpikes
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
• Convergence of utility functions and convergence of optimal strategies
• Exponential Hedging and Entropic Penalties
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• scientific article; zbMATH DE number 2062295 (Why is no real title available?)
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
• On the minimal entropy martingale measure.
• On the minimal martingale measure and the möllmer-schweizer decomposition
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• Optimal investment in incomplete markets when wealth may become negative.
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
• Portfolio choice under dynamic investment performance criteria
• Portfolios and risk premia for the long run
• Risk aversion asymptotics for power utility maximization
• Stability of exponential utility maximization with respect to market perturbations
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• Stability of utility-maximization in incomplete markets
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
• The opportunity process for optimal consumption and investment with power utility
• The stability of the constrained utility maximization problem: a BSDE approach
• The supermartingale property of the optimal wealth process for general semimartingales
• Utility maximization in incomplete markets for unbounded processes

Cited in

(12)

• Convergence of utility functions and convergence of optimal strategies
• Stability of exponential utility maximization with respect to market perturbations
• Utility maximization problem with transaction costs: optimal dual processes and stability
• On convergence to the exponential utility problem
• Stability of utility-maximization in incomplete markets
• The stability of the constrained utility maximization problem: a BSDE approach
• Stability of utility maximization in nonequivalent markets
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• scientific article; zbMATH DE number 830010 (Why is no real title available?)
• Optimal investment and price dependence in a semi-static market
• Stability of the Epstein-Zin problem
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes

This page was built for publication: Stability of the exponential utility maximization problem with respect to preferences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2968273)