Bayraktar, Erhan; Kravitz, Ross - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1671-1690
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...