32 citations · 44 across the 14 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
q-fin.PM2017★ 8 cited
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming tha…
q-fin.MF2017
Optimal consumption of multiple goods in incomplete markets
Oleksii Mostovyi
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existenc…