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Convergence of utility functions and convergence of optimal strategies

  • 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)

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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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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