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- Published / Preprint: STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES
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Posted: 28 Aug 2014 12:29 AM PDT 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 defined on converges to the exponential utility. Under a uniform condition on their marginal utilities, convergence of value functions,... Visit MoneyScience for the Complete Article. |
Blog Post: TheAlephBlog: The Art of Extracting Large Commissions From Investors Posted: 27 Aug 2014 10:22 PM PDT |
Vendor News: Finalists Announced for 2014 BAI-Finacle Global Banking Innovation Awards Posted: 27 Aug 2014 01:07 PM PDT |
Irreversible Damage Seen From Climate Change in UN Leak Posted: 27 Aug 2014 12:58 PM PDT |
Posted: 27 Aug 2014 09:09 AM PDT |
Finding millions down the back of the sofa - Telegraph Posted: 27 Aug 2014 06:16 AM PDT |
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