Stability of exponential utility maximization with respect to market perturbations (Q1947599)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of exponential utility maximization with respect to market perturbations |
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Stability of exponential utility maximization with respect to market perturbations (English)
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22 April 2013
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The authors provide a nice stability result for the problem of maximizing expected exponential utility; specifically, conditions under which convergence of markets implies the convergence of optimal terminal wealths as well as their expected utility. Two main ingredients are used in the proofs: a lower semi-continuity \(V\)-compactness criterion, and a uniform bound on the \({\mathrm{BMO}}_2\)-norm of the underlying stochastic integrals.
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utility maximization on the real line
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continuous semi-martingales
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stability with respect to market price of risk
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BMO martingales
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\(V\)-compactness
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