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Horizon dependence of utility optimizers in incomplete models

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  • Kasper Larsen
  • Hang Yu

Abstract

This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are continuous with respect to the time horizon $T$. Secondly, we exemplify that the expected utility stemming from applying the $T$-horizon optimizer on a shorter time horizon $S$, $S

Suggested Citation

  • Kasper Larsen & Hang Yu, 2010. "Horizon dependence of utility optimizers in incomplete models," Papers 1006.5057, arXiv.org, revised Oct 2010.
    • Handle: RePEc:arx:papers:1006.5057
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    File URL: http://arxiv.org/pdf/1006.5057
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