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Horizon dependence of utility optimizers in incomplete models

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  • Kasper Larsen
  • Hang Yu
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    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

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    File URL: http://arxiv.org/pdf/1006.5057
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1006.5057.

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    Date of creation: Jun 2010
    Date of revision: Oct 2010
    Handle: RePEc:arx:papers:1006.5057

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    Web page: http://arxiv.org/

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