Sensitivity analysis of the utility maximisation problem with respect to model perturbations
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Publication:1999596
DOI10.1007/s00780-019-00388-1zbMath1465.91100arXiv1705.08291OpenAlexW2962917087WikidataQ128014639 ScholiaQ128014639MaRDI QIDQ1999596
Publication date: 27 June 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.08291
sensitivity analysisduality theoryoptimal investmentKunita-Watanabe decompositiongeneral uility function
Utility theory (91B16) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
Related Items (8)
Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition ⋮ Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ Convergence of optimal expected utility for a sequence of binomial models ⋮ Trading with small nonlinear price impact ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Continuity of utility maximization under weak convergence ⋮ Stability of the Indirect Utility Process
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