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Stability of the Indirect Utility Process
SIAM Journal on Financial Mathematics ( IF 1 ) Pub Date : 2021-05-03 , DOI: 10.1137/19m1260359
Oleksii Mostovyi

SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 641-671, January 2021.
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.


中文翻译:

间接效用过程的稳定性

SIAM Journal on Financial Mathematics,第 12 卷,第 2 期,第 641-671 页,2021 年 1 月。
我们研究了在市场扰动下与(可能次优)交易策略相关的间接效用过程的动态稳定性。首先建立反向共轭特征,我们证明了在风险资产回报的有限变化和鞅部分的同时扰动下间接效用过程的连续性和一阶收敛。
更新日期:2021-06-07
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