Convergence of utility functions and convergence of optimal strategies
AbstractIn 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.
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Date of creation: 2004
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Publication status: Published, Finance and Stochastics, 2004, VIII, 1, 133-144
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optimal investment strategies; robustnes properties;
Other versions of this item:
- Elyès Jouini & Clotilde Napp, 2004. "Convergence of utility functions and convergence of optimal strategies," Finance and Stochastics, Springer, Springer, vol. 8(1), pages 133-144, January.
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- Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
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