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 risk-tolerance 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 closed-form solutions. The central part of this talk is based on the joint work with Mihai Sirbu.

In the speaker's previous joint work with Hans-Joachim Hein, a mass formula for asymptotically locally Euclidean (ALE) Kaehler manifolds was proved, assuming only relatively weak fall-off conditions on the metric. However, the case of real dimension four presented technical difficulties that led us to require fall-off conditions in this special dimension that are stronger than the Chrusciel fall-off conditions that sufficed in higher dimensions. This talk will explain how a new proof of the 4-dimensional case, using ideas from symplectic geometry, shows that Chrusciel fall-off suffices to imply all our main results in any dimension. In particular, I will explain why our Penrose-type inequality for the mass of an asymptotically Euclidean Kaehler manifold always still holds, given only this very weak metric fall-off hypothesis.