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Stability of exponential utility maximization with respect to market perturbations
exponential utility maximization market perturbations Portfolio Management
2011/10/8
Abstract: We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
BSDEs in Utility Maximization with BMO Market Price of Risk
Quadratic BSDEs BMO Market Price of Risk Power Utility Maximization Dynamic Exponential Moments
2011/8/22
Abstract: This 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 suffi...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Utility Maximization Duality Theory Quadratic Semimartingale BSDEs Stability
2011/8/23
Abstract: This 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 cons...
Delay-Aware Cross-Layer Design for Network Utility Maximization in Multi-hop Networks
Delay-Aware Cross-Layer Network Utility Maximization Multi-hop Networks
2011/1/19
We investigate the problem of designing delay-aware joint flow control, routing, and scheduling algorithms in general multi-hop networks for maximizing network utilization. Since
the end-to-end delay...
Delay Constrained Utility Maximization in Multihop Random Access Networks
Delay Constrained Utility Maximization Multihop Random Access Networks
2010/11/24
Multi-hop random access networks have received much attention due to their distributed nature which facilitates deploying many new applications over the sensor and computer networks. Recently, utilit...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisibl emarket transaction cost continuity of valuefunction quasi-variational inequality
2010/4/27
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...