Conférencier: Oleksii Mostovyi, University of Connecticut

Résumé / Abstract: First, we will give a brief overview of the asymptotic analysis results in the context of optimal investment. Then, we will focus on the sensitivity of the expected utility maximization problem in a continuous semimartingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled by a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risktolerance wealth process exists, using it as numeraire and under an appropriate change of measure, we reduce the approximation problem to a Kunita–Watanabe decomposition. Then we discuss possible extensions and special situations, in particular, the power utility case and models that admit closedform solutions. The central part of this talk is based on the joint work with Mihai Sirbu.