1 citations · 1 across the 2 of their papers we have counts for
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…
q-fin.CP2010★ 1 cited
Constrained NonSmooth Utility Maximization on the Positive Real Line
Nicholas Westray, Harry Zheng
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not ass…