Convergence of utility functions and convergence of optimal strategies
Napp, Clotilde; Jouini, Elyès (2004), Convergence of utility functions and convergence of optimal strategies, Finance and Stochastics, 8, 1, p. 133-144. http://dx.doi.org/10.1007/s00780-003-0106-3
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Article accepté pour publication ou publiéExternal document link
http://halshs.archives-ouvertes.fr/halshs-00176444/en/Date
2004Journal name
Finance and StochasticsVolume
8Number
1Publisher
Springer
Pages
133-144
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Abstract (EN)
In this paper we study the stability (in the L^{p} as well as for the almost sure convergence sense) of the optimal investment-consumption strategy with respect to the choice of the utility function.Subjects / Keywords
optimal strategiesRelated items
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