摘要翻译：
研究了市场夏普比扰动下期望指数效用最大化的连续性。通过只关注连续性，我们施加了比文献中发现的更弱的正则性条件。具体地说，除了Larsen和\v{Z}Itkovi\'c(2007)(ARXIV:0706.0474)的$V$-紧性假设之外，我们还要求一个局部的$BMO$假设，这个条件在Larsen和\v{Z}Itkovi\'c(2007)的设置中总是得到满足。对于形式为$s=M+\int\lambda d<M>$的市场，在适当的$BMO$空间中，$\lambda\cdot M$范数的一致界的存在同时暗示了这些条件。
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英文标题：
《Stability of exponential utility maximization with respect to market
  perturbations》
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作者：
Erhan Bayraktar, Ross Kravitz
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最新提交年份：
2012
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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：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：
  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 regularity conditions than those found in the literature. Specifically, we require, in addition to the $V$-compactness hypothesis of Larsen and \v{Z}itkovi\'c (2007) (ArXiv: 0706.0474), a local $bmo$ hypothesis, a condition which is seen to always be trivially satisfied in the setting of Larsen and \v{Z}itkovi\'c (2007). For markets of the form $S = M + \int \lambda d<M>$, these conditions are simultaneously implied by the existence of a uniform bound on the norm of $\lambda \cdot M$ in a suitable $bmo$ space.
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PDF链接：
https://arxiv.org/pdf/1107.2716