2011/07/13 by Erhan Bayraktar, Bayraktar, Erhan, Ross Kravitz +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1107.2716
Final version. To appear in "Stochastic Processes and Their Applications"
openalex publication_date 2011/07/13 · arxiv created 2012/12/11 · arxiv updated 2012/12/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regularity conditions than those found in the literature. Specifically, we require, in addition to the V-compactness hypothesis of Larsen and Žitković (2007) (ArXiv: 0706.0474), a local bmo hypothesis, a condition which is seen to always be trivially satisfied in the setting of Larsen and Žitković (2007). For markets of the form S = M + ∫ λd<M>, these conditions are simultaneously implied by the existence of a uniform bound on the norm of λ⋅ M in a suitable bmo space.