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Convergence of utility functions and convergence of optimal strategies

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  • Clotilde Napp

    ()
    (CREST - Centre de Recherche en Économie et Statistique - INSEE - École Nationale de la Statistique et de l'Administration Économique, CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris Dauphine - Paris IX)

  • Elyès Jouini

    ()
    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris Dauphine - Paris IX)

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.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00151579.

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Date of creation: 2004
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Publication status: Published, Finance and Stochastics, 2004, VIII, 1, 133-144
Handle: RePEc:hal:journl:halshs-00151579

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00151579/en/
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Related research

Keywords: optimal investment strategies; robustnes properties;

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Cited by:
  1. Hao Xing, 2012. "Stability of the exponential utility maximization problem with respect to preferences," Papers 1205.6160, arXiv.org, revised Sep 2013.
  2. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 117(11), pages 1642-1662, November.
  3. 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.
  4. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, Springer, vol. 6(1), pages 107-135, January.
  5. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
  6. Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
  7. Gino Favero & Tiziano Vargiolu, 2006. "Shortfall risk minimising strategies in the binomial model: characterisation and convergence," Computational Statistics, Springer, Springer, vol. 64(2), pages 237-253, October.
  8. 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.
  9. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
  10. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
  11. Niu, Liqun, 2008. "Some stability results of optimal investment in a simple Lévy market," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 445-452, February.
  12. Gordan Zitkovic, 2009. "An example of a stochastic equilibrium with incomplete markets," Papers 0906.0208, arXiv.org, revised Jun 2010.

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