摘要翻译：
投资组合管理效用最大化技术的有效性依赖于我们正确估计基础金融资产动态参数的能力。在完全或不完全金融市场中，我们研究了市场系数过程的小扰动是否会导致代理最优行为的小变化。具体地，我们在参数过程空间和解空间上确定了效用最大化是一个连续操作的拓扑，并给出了一个反例，说明我们的结果在某种意义上是最好的。作为中心定理证明的一个分支，建立了关于效用最大化问题解的结构的一个新结果，其中价格是用连续半鞅建模的。
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英文标题：
《Stability of utility-maximization in incomplete markets》
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作者：
Kasper Larsen, Gordan Zitkovic
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最新提交年份：
2007
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分类信息：

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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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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英文摘要：
  The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial markets, we investigate whether small perturbations of the market coefficient processes lead to small changes in the agent's optimal behavior derived from the solution of the related utility-maximization problems. Specifically, we identify the topologies on the parameter process space and the solution space under which utility-maximization is a continuous operation, and we provide a counterexample showing that our results are best possible, in a certain sense. A novel result about the structure of the solution of the utility-maximization problem where prices are modeled by continuous semimartingales is established as an offshoot of the proof of our central theorem.
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PDF链接：
https://arxiv.org/pdf/0706.0474