Stability of utility-maximization in incomplete markets

DOI10.1016/j.spa.2006.10.012zbMath1132.91427arXiv0706.0474OpenAlexW2112319103MaRDI QIDQ2464860

Yanyan Li

Publication date: 17 December 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.0474

zbMATH Keywords

well-posednessconvex dualitymathematical financecontinuous semimartingalesmarket price of risk process\(V\)-relative compactnessappropriate topologiesutility-maximization

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items

Trading strategies generated by Lyapunov functions ⋮ Stability of utility maximization in nonequivalent markets ⋮ Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ The existence of dominating local martingale measures ⋮ Convex compactness and its applications ⋮ Forward-backward systems for expected utility maximization ⋮ Open markets ⋮ A strong law of large numbers for positive random variables ⋮ BSDEs in utility maximization with BMO market price of risk ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ An expansion in the model space in the context of utility maximization ⋮ Abstract, classic, and explicit turnpikes ⋮ Optimal portfolio choice with wash sale constraints ⋮ Optimal investment and price dependence in a semi-static market ⋮ Mean-risk portfolio management with bankruptcy prohibition ⋮ Partial equilibria with convex capital requirements: existence, uniqueness and stability ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ On optimal investment with processes of long or negative memory ⋮ Stability of Merton's portfolio optimization problem for Lévy models ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Horizon dependence of utility optimizers in incomplete models ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints ⋮ Continuity of utility maximization under weak convergence ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ On the dual problem of utility maximization in incomplete markets ⋮ STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS ⋮ CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES ⋮ Stability of the Indirect Utility Process ⋮ Conditional Davis pricing ⋮ Adapted Wasserstein distances and stability in mathematical finance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Maxmin expected utility with non-unique prior
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• A general version of the fundamental theorem of asset pricing
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Weak convergence of financial markets.
• Convergence of utility functions and convergence of optimal strategies
• The existence of absolutely continuous local martingale measures
• When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• Robustness of the Black and Scholes Formula
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Stochastic finance. An introduction in discrete time
• The relaxed investor and parameter uncertainty
• A note on robustness in Merton's model of intertemporal consumption and portfolio choice