Stability of the utility maximization problem with random endowment in incomplete markets

Details Stability of the utility maximization problem with random endowment in incomplete markets Stability of the utility maximization problem with random endowment in incomplete markets

2007-06-04

arxiv.org/abs/0706.0482v3

Economy

Quantitative Finance

Portfolio Management

21 pages, revised version. To appear in "Mathematical Finance".

Scientific paper

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well-posed, in the sense the optimal wealth and the marginal utility-based prices are continuous functionals of preferences and probabilistic views.

Affiliated with

Also associated with

No associations

Rating

Stability of the utility maximization problem with random endowment in incomplete markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Stability of the utility maximization problem with random endowment in incomplete markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Stability of the utility maximization problem with random endowment in incomplete markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-726908