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Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/6/5
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Model Formulation. Continuity of the Optimizers
2011/7/20
This article studies the sensitivity of the power utility maximization problem with respect to the investor’s relative risk aversion, the statistical probability measure, the investment constraints an...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
State-dependent utility maximization in Lévy markets
Portfolio optimization L´ evy market duality method utility maximization shortfall risk minimization
2010/10/29
We revisitMerton’s portfolio optimization problem under bounded state-dependent utility functions, in a market driven by a L´evy process Z extending results by Karatzas et. al. [8] and Kunita [1...