Matches in SemOpenAlex for { <https://semopenalex.org/work/W4293729596> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W4293729596 abstract "We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled with a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risk-tolerance wealth process exists, using it as a num'eraire and under an appropriate change of measure, we reduce the approximation problem to a Kunita-Watanabe decomposition." @default.
- W4293729596 created "2022-08-31" @default.
- W4293729596 creator A5005194674 @default.
- W4293729596 creator A5072225223 @default.
- W4293729596 date "2017-05-23" @default.
- W4293729596 modified "2023-10-18" @default.
- W4293729596 title "Sensitivity analysis of the utility maximization problem with respect to model perturbations" @default.
- W4293729596 doi "https://doi.org/10.48550/arxiv.1705.08291" @default.
- W4293729596 hasPublicationYear "2017" @default.
- W4293729596 type Work @default.
- W4293729596 citedByCount "0" @default.
- W4293729596 crossrefType "posted-content" @default.
- W4293729596 hasAuthorship W4293729596A5005194674 @default.
- W4293729596 hasAuthorship W4293729596A5072225223 @default.
- W4293729596 hasBestOaLocation W42937295961 @default.
- W4293729596 hasConcept C10138342 @default.
- W4293729596 hasConcept C126255220 @default.
- W4293729596 hasConcept C127413603 @default.
- W4293729596 hasConcept C14036430 @default.
- W4293729596 hasConcept C144237770 @default.
- W4293729596 hasConcept C14646407 @default.
- W4293729596 hasConcept C149782125 @default.
- W4293729596 hasConcept C154808841 @default.
- W4293729596 hasConcept C162324750 @default.
- W4293729596 hasConcept C182306322 @default.
- W4293729596 hasConcept C205706631 @default.
- W4293729596 hasConcept C21200559 @default.
- W4293729596 hasConcept C24326235 @default.
- W4293729596 hasConcept C2776330181 @default.
- W4293729596 hasConcept C2779044140 @default.
- W4293729596 hasConcept C28826006 @default.
- W4293729596 hasConcept C2985793214 @default.
- W4293729596 hasConcept C33923547 @default.
- W4293729596 hasConcept C48406656 @default.
- W4293729596 hasConcept C78458016 @default.
- W4293729596 hasConcept C86803240 @default.
- W4293729596 hasConceptScore W4293729596C10138342 @default.
- W4293729596 hasConceptScore W4293729596C126255220 @default.
- W4293729596 hasConceptScore W4293729596C127413603 @default.
- W4293729596 hasConceptScore W4293729596C14036430 @default.
- W4293729596 hasConceptScore W4293729596C144237770 @default.
- W4293729596 hasConceptScore W4293729596C14646407 @default.
- W4293729596 hasConceptScore W4293729596C149782125 @default.
- W4293729596 hasConceptScore W4293729596C154808841 @default.
- W4293729596 hasConceptScore W4293729596C162324750 @default.
- W4293729596 hasConceptScore W4293729596C182306322 @default.
- W4293729596 hasConceptScore W4293729596C205706631 @default.
- W4293729596 hasConceptScore W4293729596C21200559 @default.
- W4293729596 hasConceptScore W4293729596C24326235 @default.
- W4293729596 hasConceptScore W4293729596C2776330181 @default.
- W4293729596 hasConceptScore W4293729596C2779044140 @default.
- W4293729596 hasConceptScore W4293729596C28826006 @default.
- W4293729596 hasConceptScore W4293729596C2985793214 @default.
- W4293729596 hasConceptScore W4293729596C33923547 @default.
- W4293729596 hasConceptScore W4293729596C48406656 @default.
- W4293729596 hasConceptScore W4293729596C78458016 @default.
- W4293729596 hasConceptScore W4293729596C86803240 @default.
- W4293729596 hasLocation W42937295961 @default.
- W4293729596 hasOpenAccess W4293729596 @default.
- W4293729596 hasPrimaryLocation W42937295961 @default.
- W4293729596 hasRelatedWork W1505235924 @default.
- W4293729596 hasRelatedWork W1597562380 @default.
- W4293729596 hasRelatedWork W2001990530 @default.
- W4293729596 hasRelatedWork W2067649483 @default.
- W4293729596 hasRelatedWork W2230157161 @default.
- W4293729596 hasRelatedWork W2619338574 @default.
- W4293729596 hasRelatedWork W3121720223 @default.
- W4293729596 hasRelatedWork W3123469175 @default.
- W4293729596 hasRelatedWork W4293729596 @default.
- W4293729596 hasRelatedWork W4297571868 @default.
- W4293729596 isParatext "false" @default.
- W4293729596 isRetracted "false" @default.
- W4293729596 workType "article" @default.