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, Finance and Stochastics, 2004, VIII, 1, 133-144|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00151579/en/|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
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