Stability of utility maximization in nonequivalent markets

DOI10.1007/s00780-016-0289-zzbMath1376.91157arXiv1410.0915OpenAlexW906058959MaRDI QIDQ287676

Kim Weston

Publication date: 23 May 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.0915

zbMATH Keywords

expected utility theoryrandom endowmentincompletenessmarket stabilitynonequivalent marketsperturbations in volatility and drift

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic stability in control theory (93E15) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (3)

Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Adapted Wasserstein distances and stability in mathematical finance

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