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| Content Provider | Springer Nature Link |
|---|---|
| Author | Weston, Kim |
| Copyright Year | 2016 |
| Abstract | Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies. Degeneracies arise from the presence of nonequivalence. In the positive real line utility framework, a counterexample is presented showing that the expected utility maximization problem can be unstable. A positive stability result is proved for utility functions on the entire real line. |
| Ending Page | 541 |
| Page Count | 31 |
| Starting Page | 511 |
| File Format | |
| ISSN | 09492984 |
| e-ISSN | 14321122 |
| Journal | Finance and Stochastics |
| Issue Number | 2 |
| Volume Number | 20 |
| Language | English |
| Publisher | Springer Berlin Heidelberg |
| Publisher Date | 2016-01-29 |
| Publisher Place | Berlin, Heidelberg |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Random endowment Market stability Expected utility theory Finance Economic Theory/Quantitative Economics/Mathematical Methods Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems) Probability Theory and Stochastic Processes Stochastic stability Quantitative Finance Incompleteness Statistics for Business/Economics/Mathematical Finance/Insurance Nonequivalent markets Martingales with continuous parameter |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Statistics and Probability Statistics, Probability and Uncertainty |
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