2011/07/01 by Markus Mocha, Mocha, Markus, Nicholas Westray +1
Decision Sciences · Economics, Econometrics and Finance · Engineering · Mathematics · #60H30 #91B28 #93D99 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #math.PR #msc:60H30 #msc:91B28 #msc:93D99 #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1107.0190
30 pages
arxiv created 2011/07/01 · openalex publication_date 2011/07/01 · arxiv updated 2011/07/04 · openalex created_date 2025/10/24 · openalex updated_date 2026/08/04
This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment constraints and the market price of risk. We extend previous descriptions of the dual domain then exploit the link between the constrained utility maximization problem and continuous semimartingale quadratic BSDEs to reduce questions on sensitivity to results on stability for such equations. This then allows us to prove appropriate convergence of the primal and dual optimizers in the semimartingale topology.