STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

DOI10.1111/j.1467-9965.2010.00433.xzbMath1230.91075arXiv0706.0482OpenAlexW2142366343MaRDI QIDQ3084602

Constantinos Kardaras, Gordan Žitković

Publication date: 25 March 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.0482

zbMATH Keywords

stability analysisutility maximizationmathematical financeconvex analysis

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items

Stability of utility maximization in nonequivalent markets ⋮ Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ Optimal Investment with Time-Varying Stochastic Endowments ⋮ Risk aversion asymptotics for power utility maximization ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT ⋮ Optimal investment and price dependence in a semi-static market ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ Continuity of utility maximization under weak convergence ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Stability of the Indirect Utility Process ⋮ Adapted Wasserstein distances and stability in mathematical finance

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