Xing, Hao (2017) Stability of the exponential utility maximization problem with respect to preferences. Mathematical Finance, 27 (1). pp. 3867. ISSN 09601627

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Abstract
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a sequence of utilities depned on R converges to the exponential utility. Under a uniform condition on their marginal utilities, convergence of value functions, optimal payouts and optimal investment strategies are obtained, their rate of convergence are also determined. Stability of utilitybased pricing is studied as an application. Second, a sequence of utilities depened on R+ converges to the exponential utility after shifting and scaling. Their associated optimal strategies, after appropriate scaling, converge to the optimal strategy for the exponential hedging problem. This complements Theorem 3.2 in M. Nutz, Probab. Theory Relat. Fields, 152, 2012, which establishes the convergence for a sequence of power utilities.
Item Type:  Article 

Official URL:  http://onlinelibrary.wiley.com/journal/10.1111/%28... 
Additional Information:  © 2014 Wiley Periodicals, Inc. 
Divisions:  Statistics 
Subjects:  H Social Sciences > HA Statistics H Social Sciences > HG Finance Q Science > QA Mathematics 
Date Deposited:  24 Jun 2014 08:59 
Last Modified:  14 Sep 2024 07:16 
Funders:  STICERD, London School of Economics and Political Science 
URI:  http://eprints.lse.ac.uk/id/eprint/57213 
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