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Sensitivity analysis of the utility maximisation problem with respect to model perturbations |
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| Authors: | Mostovyi Oleksii Sîrbu Mihai |
| Institution: | 1.Department of Mathematics, University of Connecticut, Storrs, CT, 06269, USA ;2.Department of Mathematics, The University of Texas at Austin, Austin, TX, 78712, USA ; |
| Abstract: | Finance and Stochastics - We consider the expected utility maximisation problem and its response to small changes in the market price of risk in a continuous semimartingale setting. Assuming that... |
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