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On the Stability of Utility Maximization Problems
On the Stability Utility Maximization Problems
2010/10/22
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 wealth processes, con...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisible market transaction cost
2010/10/19
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
Robust utility maximization for diffusion market model with misspecified coefficients
The maximin problem saddle point Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation robust utility maximization
2010/11/2
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by di...