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Convergence of utility functions and convergence of optimal strategies

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Author Info
Elyès Jouini ()
Clotilde Napp ()

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Abstract

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. Copyright Springer-Verlag Berlin/Heidelberg 2004

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File URL: http://hdl.handle.net/10.1007/s00780-003-0106-3
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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 8 (2004)
Issue (Month): 1 (January)
Pages: 133-144
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Handle: RePEc:spr:finsto:v:8:y:2004:i:1:p:133-144

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October. [Downloadable!] (restricted)
  2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Quantitative Finance Papers 0706.0482, arXiv.org, revised Jun 2007. [Downloadable!]
  2. Nicole Bäuerle & Ulrich Rieder, 2009. "MDP algorithms for portfolio optimization problems in pure jump markets," Finance and Stochastics, Springer, vol. 13(4), pages 591-611, September. [Downloadable!] (restricted)
  3. Gordan Zitkovic, 2009. "Stochastic equilibria and stability in a class of incomplete continuous-time financial environments," Quantitative Finance Papers 0906.0208, arXiv.org. [Downloadable!]
  4. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Quantitative Finance Papers 0901.3318, arXiv.org. [Downloadable!]
  5. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Quantitative Finance Papers 0706.0474, arXiv.org. [Downloadable!]
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