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Stability of the indirect utility process

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  • Oleksii Mostovyi

Abstract

We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect-utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.

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  • Oleksii Mostovyi, 2020. "Stability of the indirect utility process," Papers 2002.09445, arXiv.org.
    • Handle: RePEc:arx:papers:2002.09445
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    References listed on IDEAS

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