We perform a stability analysis for the utility maximization problem in a
general semimartingale model where both liquid and illiquid assets (random
endowments) are present. Small misspecifications of preferences (as modeled via
expected utility), as well as views of the world or the market model (as
modeled via subjective probabilities) are considered. Simple sufficient
conditions are given for the problem to be well-posed, in the sense the optimal
wealth and the marginal utility-based prices are continuous functionals of
preferences and probabilistic views.Comment: 21 pages, revised version. To appear in "Mathematical Finance"
