On the Stability of Utility Maximization Problems
Portfolio Management
2011-03-28 v4 Optimization and Control
Probability
Abstract
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the stopping time . To establish our results, we extend the classical results of convex analysis to maps from to . The notion of convex compactness introduced in [7] plays an important role in our analysis.
Keywords
Cite
@article{arxiv.1010.4322,
title = {On the Stability of Utility Maximization Problems},
author = {Erhan Bayraktar and Ross Kravitz},
journal= {arXiv preprint arXiv:1010.4322},
year = {2011}
}
Comments
Keywords: Utility maximization, incomplete markets, stability, convex analysis for functions from $L^0$ to $L^0$, convex compactness, continuous semimartingales