Stability of exponential utility maximization with respect to market perturbations-Reference-Cited by-同舟云学术

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Stability of exponential utility maximization with respect to market perturbations

Published:2013-05 Issue:5 Volume:123 Page:1671-1690
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bayraktar Erhan,Kravitz Ross

Funder

National Science Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference20 articles.

1. Exponential hedging and entropic penalties;Delbaen;Math. Finance,2002

2. Inégalités de normes avec poids et fermeture d’un espace d’intégrales stochastiques;Delbaen;C. R. Acad. Sci. Paris Sér. I Math.,1994

3. Weighted norm inequalities and hedging in incomplete markets;Delbaen;Finance Stoch.,1997

4. Probabilities and Potential B;Dellacherie,1982

5. Inégalités de normes avec poids;Doléans-Dade,1979

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Utility Maximization Problem with Transaction Costs: Optimal Dual Processes and Stability;Applied Mathematics & Optimization;2020-07-17

2. Continuity of utility maximization under weak convergence;Mathematics and Financial Economics;2020-07-08

3. Continuity of Utility Maximization under Weak Convergence;SSRN Electronic Journal;2018

4. Stability of utility maximization in nonequivalent markets;Finance and Stochastics;2016-01-29

5. STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES;Mathematical Finance;2014-08-28

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