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q-fin.PM2011
Stability of exponential utility maximization with respect to market perturbations
Erhan Bayraktar, Ross Kravitz
We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose we…
q-fin.PM2010★ 2 cited
On the Stability of Utility Maximization Problems
Erhan Bayraktar, Ross Kravitz
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of we…