Kardaras, Constantinos and Žitković, Gordan (2011) Stability of the utility maximization problem with random endowment in incomplete markets. Mathematical finance, 21 (2). pp. 313-333. ISSN 0960-1627
Abstract
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well posed, in the sense that the optimal wealth and the marginal utility-based prices are continuous functionals of preferences and probabilistic views.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/%28... |
| Additional Information: | © 2011 Wiley Periodicals |
| Uncontrolled Keywords: | convex analysis, convex duality, illiquid assets, incomplete markets, mathematical finance, random endowment, semimartingales, stability, utility maximization, utility-based prices, well-posed problems |
| Library of Congress subject classification: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | G - Financial Economics > G1 - General Financial Markets > G10 - General |
| Sets: | Departments > Statistics Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/44991/ |
Actions (login required)
 |
Record administration - authorised staff only |
