89 citations · 131 across the 2 of their papers we have counts for
2 papers
math.PR2007★ 89 cited
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
Dmitry Kramkov, Mihai S\^{ı}rbu
In the general framework of a semimartingale financial model and a utility function defined on the positive real line, we compute the first-order expansion of marginal utility-…
math.PR2006★ 42 cited
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
Dmitry Kramkov, Mihai S\^{ı}rbu
We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomple…