2 papers
math.OC2011
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Markus Mocha, Nicholas Westray
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 inves…
math.PR2011
BSDEs in Utility Maximization with BMO Market Price of Risk
Christoph Frei, Markus Mocha, Nicholas Westray
This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary…