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摘要翻译：
本文研究了电力效用最大化问题对投资者相对风险厌恶、统计概率测度、投资约束和市场风险价格的敏感性。我们扩展了前人对偶区域的描述，然后利用约束效用最大化问题与连续半鞅二次BSDEs之间的联系，减少了对这类方程稳定性结果的敏感性问题。这使得我们可以证明半鞅拓扑中的原始优化器和对偶优化器的适当收敛性。
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英文标题：
《The Stability of the Constrained Utility Maximization Problem - A BSDE
Approach》
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作者：
Markus Mocha and Nicholas Westray
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最新提交年份：
2011
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分类信息：
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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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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英文摘要：
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 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. This then allows us to prove appropriate convergence of the primal and dual optimizers in the semimartingale topology.
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PDF链接：
https://arxiv.org/pdf/1107.0190
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