Continuity of utility maximization under weak convergence

Utility Maximization under Uncertainty

Motivated by several search and optimization problems over uncertain datasets, we study the stochastic versions of a broad class of combinatorial problems where either the existences or the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest paths, minimum weight spanning trees, and minimum weight matchings over probabilistic graphs;...

Continuity of utility-maximization with respect to preferences

This paper provides an easy verifiable regularity condition under which the investor’s utility maximizer depends continuously on the description of her preferences in a general incomplete financial setting. Specifically, we extend the setting of Jouini and Napp (2004) to 1) noise generated by a general continuous semi-martingale and 2) the market price of risk is allowed to be a general adapted...

Continuity of utility-maximization with respect to preferences1

This paper provides an easily verifiable regularity condition under which the investor’s utility maximizer depends continuously on the description of her preferences in a general incomplete financial setting. Specifically, we extend the setting of Jouini and Napp (2004) to include noise generated by a general continuous semi-martingale and to the case where the market price of risk process is a...

On utility maximization under convex portfolio constraints

Utility Maximization Under Bounded Expected Loss

We consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of the expected loss. Depending on the parameters of the risk constraint we show existence of an optimal solution and uniqueness of the corresponding Lagrange multipliers. Using Malliavin calculus we also provide the optimal ...