英文标题：
《Sensitivity analysis of the utility maximization problem with respect to
model perturbations》
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作者：
Oleksii Mostovyi, Mihai S\\^irbu
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最新提交年份：
2017
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英文摘要：
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.
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中文摘要：
我们研究了连续半鞅市场中期望效用最大化问题对风险市场价格微小变化的敏感性。假设理性经济主体的偏好是用一般效用函数建模的，我们得到了价值函数的二阶展开式，终端财富的一阶近似值，并构建了与二阶间接效用函数相匹配的交易策略。如果存在风险容忍财富过程，将其作为一个数值，并在适当的度量变化下，我们将近似问题简化为渡边Kunita分解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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