A sensitivity analysis of the long-term expected utility of optimal portfolios

This talk discusses the sensitivity of the long-term expected utility of optimal portfolios. Under an incomplete market given by a factor model, we consider the utility maximization problem with long-time horizon. The main... [ view full abstract ]

This talk discusses the sensitivity of the long-term expected utility of optimal portfolios. Under an incomplete market given by a factor model, we consider the utility maximization problem with long-time horizon. The main purpose is to find the extent how much the optimal expected utility is affected in the long run for small changes of the underlying factor model. The long-term behavior of the  optimal expected utility can be characterized by a solution pair of an ergodic HJB equation, and  we will conclude that this solution pair  determines the long-term sensitivity.