کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155662 958755 2013 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stability of exponential utility maximization with respect to market perturbations
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Stability of exponential utility maximization with respect to market perturbations
چکیده انگلیسی

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, we require, in addition to the VV-compactness hypothesis of Larsen and Žitković (2007) [13], a local bmobmo hypothesis, a condition which is essentially implicit in the setting of [13]. For markets of the form S=M+∫λd〈M〉S=M+∫λd〈M〉, these conditions are simultaneously implied by the existence of a uniform bound on the norm of λ⋅Mλ⋅M in a suitable bmobmo space.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 5, May 2013, Pages 1671–1690
نویسندگان
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