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Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/6/5
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
Evaluation of economic efficiency of orchards investment project with respect to the risk
apple orchard investment project economic efficiency simulation model risk
2014/2/27
Continuous elimination of the acreage of orchards in Slovakia has a negative impact on the overall fruit production. Improvement of the conditions could be achieved by introducing new technological sy...