Markus Mocha
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach.
Mon, 07/04/2011 - 15:01 — SomNambulAuthors: Nicholas Westray, Markus Mocha
Subjects: Optimization and Control
AbstractThis article studies the sensitivity of the power utility maximization
problem with respect to the investor's relative risk aversion, the statistical
probability measure, the investment constraints and the market price of risk.
We extend previous descriptions of the dual domain then exploit the link
between the constrained utility maximization problem and continuous
semimartingale quadratic BSDEs to reduce questions on sensitivity to results on
stability for such equations.BSDEs in Utility Maximization with BMO Market Price of Risk.
Mon, 07/04/2011 - 15:01 — SomNambulAuthors: Nicholas Westray, Christoph Frei, Markus Mocha
Subjects: Probability
AbstractThis article studies quadratic semimartingale BSDEs arising in power utility
maximization when the market price of risk is of BMO type. In a Brownian
setting we provide a necessary and sufficient condition for the existence of a
solution but show that uniqueness fails to hold in the sense that there exists
a continuum of distinct square-integrable solutions. This feature occurs since,
contrary to the classical Ito representation theorem, a representation of
random variables in terms of stochastic exponentials is not unique.
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