89 citations · 131 across the 2 of their papers we have counts for
3 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…
math.PR2004
Optimal investment with random endowments in incomplete markets
Julien Hugonnier, Dmitry Kramkov
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previou…