On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
From MaRDI portal
Publication:862209
DOI10.1214/105051606000000259zbMath1149.91035arXivmath/0610224OpenAlexW1965608937MaRDI QIDQ862209
Publication date: 5 February 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0610224
portfolioduality theoryconjugate functionsexpected utility maximizationsecurity marketsemimartingale processes
Related Items (22)
On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Malliavin method for optimal investment in financial markets with memory ⋮ Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Portfolios and risk premia for the long run ⋮ An expansion in the model space in the context of utility maximization ⋮ Abstract, classic, and explicit turnpikes ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Corrections to the Prices of Derivatives due to Market Incompleteness ⋮ Asymptotic analysis of utility-based hedging strategies for small number of contingent claims ⋮ A note on admissibility when the credit line is infinite ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Sensitivity analysis of utility-based prices and risk-tolerance wealth processes ⋮ Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space ⋮ Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure ⋮ Overview of utility-based valuation ⋮ Density of the set of probability measures with the martingale representation property ⋮ OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS ⋮ On the stochastic behaviour of optional processes up to random times
Cites Work
- Unnamed Item
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- A stochastic calculus model of continuous trading: Complete markets
- Mean-Variance Hedging and Numeraire
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- A Martingale Representation Result and an Application to Incomplete Financial Markets
- $\sigma$-Localization and $\sigma$-Martingales
This page was built for publication: On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
