Sensitivity analysis of the utility maximization problem with respect to model perturbations
Abstract
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 ]
Authors
- Oleksii Mostovyi (University of Connecticut)
- Mihai Sirbu (University of Texas at Austin)
Topic Areas
Asymptotics , Optimal Control , Optimal Investment
Session
Th-A-B2 » Portfolio Optimisation with Transaction Costs (11:30 - Thursday, 19th July, Beckett 2)
Presentation Files
The presenter has not uploaded any presentation files.