Convergence of utility functions and convergence of optimal strategies
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.
|Date of creation:||2004|
|Date of revision:|
|Publication status:||Published in Finance and Stochastics, Springer Verlag (Germany), 2004, VIII (1), pp.133-144|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00151579|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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