Risk aversion asymptotics for power utility maximization

DOI10.1007/s00440-010-0334-3zbMath1242.91224arXiv1003.3582OpenAlexW2102600411MaRDI QIDQ2428507

Marcel Nutz

Publication date: 26 April 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.3582

zbMATH Keywords

risk aversionBSDErisk aversion asymptoticsopportunity process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items

Influence of risk tolerance on long-term investments: a Malliavin calculus approach, LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS, The opportunity process for optimal consumption and investment with power utility, Young, timid, and risk takers, The Bellman equation for power utility maximization with semimartingales, STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES, UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS, Optimal rebalancing frequencies for multidimensional portfolios, Asymptotics for fixed transaction costs

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