Sensitivity analysis of the utility maximization problem with respect to model perturbations


We study the sensitivity of the expected utility maximization problem ina continuous semi-martingale market with respect to small changes in the market priceof risk. Assuming that the preferences of a rational economic agent... [ view full abstract ]


  1. Oleksii Mostovyi (University of Connecticut)
  2. Mihai Sirbu (University of Texas at Austin)

Topic Areas

Asymptotics , Optimal Control , Optimal Investment


Th-A-B2 » Portfolio Optimisation with Transaction Costs (11:30 - Thursday, 19th July, Beckett 2)

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