Continuity of utility maximization under weak convergence

被引：8

作者：

Bayraktar, Erhan ^{[1
]}

Dolinsky, Yan ^{[2
]}

Guo, Jia ^{[1
]}

机构：

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

[2] Hebrew Univ Jerusalem, Dept Stat, Jerusalem, Israel

来源：

MATHEMATICS AND FINANCIAL ECONOMICS | 2020年 / 14卷 / 04期

基金：

美国国家科学基金会;

关键词：

Incomplete markets; Utility maximization; Weak convergence; STOCHASTIC VOLATILITY; OPTIMAL CONSUMPTION; PORTFOLIO POLICIES; SUPER-REPLICATION; MARTINGALE; STABILITY; DISCRETE; OPTIONS; PRICES; SPACE;

D O I：

10.1007/s11579-020-00274-x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak convergence result for the terminal wealths of the optimal portfolios. Finally, we apply our results to the computation of the minimal expected shortfall (shortfall risk) in the Heston model by building an appropriate lattice approximation.

引用

页码：725 / 757

页数：33

共 50 条

[31] Convergence of multilocus systems under weak epistasis or weak selection
Nagylaki, T
Hofbauer, J
Brunovsky, P
[J]. JOURNAL OF MATHEMATICAL BIOLOGY, 1999, 38 (02) : 103 - 133
[32] Scheduling choices under rank dependent utility maximization
Wang, Qian
Karlstrom, Anders
Sundberg, Marcus
[J]. TRANSPORTATION: CAN WE DO MORE WITH LESS RESOURCES? - 16TH MEETING OF THE EURO WORKING GROUP ON TRANSPORTATION - PORTO 2013, 2014, 111 : 301 - 310
[33] SYSTEMS OF DEMAND FUNCTIONS UNDER INTERTEMPORAL UTILITY MAXIMIZATION
LLUCH, C
[J]. ECONOMETRICA, 1971, 39 (04) : 144 - &
[34] Convergence of multilocus systems under weak epistasis or weak selection
Thomas Nagylaki
Josef Hofbauer
Pavol Brunovský
[J]. Journal of Mathematical Biology, 1999, 38 : 103 - 133
[35] Weak Convergence and Weak* Convergence
Narita, Keiko
Endou, Noboru
Shidama, Yasunari
[J]. FORMALIZED MATHEMATICS, 2015, 23 (03): : 231 - 241
[36] Extended weak convergence and utility maximisation with proportional transaction costs
Erhan Bayraktar
Leonid Dolinskyi
Yan Dolinsky
[J]. Finance and Stochastics, 2020, 24 : 1013 - 1034
[37] Extended weak convergence and utility maximisation with proportional transaction costs
Bayraktar, Erhan
Dolinskyi, Leonid
Dolinsky, Yan
[J]. FINANCE AND STOCHASTICS, 2020, 24 (04) : 1013 - 1034
[38] NONPARAMETRIC-TESTS OF UTILITY MAXIMIZATION AND WEAK SEPARABILITY FOR CONSUMPTION, LEISURE AND MONEY
SWOFFORD, JL
WHITNEY, GA
[J]. REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) : 458 - 464
[39] On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
Di Tella, Paolo
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (02) : 760 - 784
[40] A Distributed Newton Method for Network Utility Maximization-Part II: Convergence
Wei, Ermin
Ozdaglar, Asuman
Jadbabaie, Ali
[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2013, 58 (09) : 2176 - 2188

← 1 2 3 4 5 →