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Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire |
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| Institution: | 1. Department of Mathematics, Nazarbayev University, Astana, 010000, Kazakhstan;2. Department of Mathematics, National University of Singapore, 119076, Singapore;1. IRMAR, INSA de Rennes, 35708 Rennes, France;2. LAMA, Université Paris-Est Créteil, 94010 Créteil, France |
| Abstract: | |
| Keywords: | Sensitivity analysis Utility maximization Semimartingale characteristics Sherman–Morrison formula Envelope theorem Numéraire |
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