Stability of exponential utility maximization with respect to market perturbations

Details Stability of exponential utility maximization with respect to market perturbations Stability of exponential utility maximization with respect to market perturbations

2011-07-14

arxiv.org/abs/1107.2716v4

Economy

Quantitative Finance

Portfolio Management

Scientific paper

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 regularity conditions than those found in the literature. Specifically, for markets of the form $S = M + \int \lambda d$, we require a uniform bound on the norm of $\lambda \cdot M$ in a suitable $bmo$ space.

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