Convergence of utility functions and convergence of optimal strategies
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- Elyès Jouini & Clotilde Napp, 2004. "Convergence of utility functions and convergence of optimal strategies," Finance and Stochastics, Springer, vol. 8(1), pages 133-144, January.
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- Pietro Siorpaes, 2015. "Optimal investment and price dependence in a semi-static market," Finance and Stochastics, Springer, vol. 19(1), pages 161-187, January.
- Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
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- Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
- 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.
- Xing, Hao, 2017. "Stability of the exponential utility maximization problem with respect to preferences," LSE Research Online Documents on Economics 57213, London School of Economics and Political Science, LSE Library.
- Hao Xing, 2012. "Stability of the exponential utility maximization problem with respect to preferences," Papers 1205.6160, arXiv.org, revised Sep 2013.
- Gino Favero & Tiziano Vargiolu, 2006. "Shortfall risk minimising strategies in the binomial model: characterisation and convergence," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(2), pages 237-253, October.
- repec:spr:compst:v:64:y:2006:i:2:p:237-253 is not listed on IDEAS
- 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.
- Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2016. "Cooperative investment in incomplete markets under financial fairness," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 394-406.
- Lingqi Gu & Yiqing Lin & Junjian Yang, 2017. "Utility maximization problem under transaction costs: optimal dual processes and stability," Papers 1710.04363, arXiv.org.
- 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.
- Gordan Zitkovic, 2009. "An example of a stochastic equilibrium with incomplete markets," Papers 0906.0208, arXiv.org, revised Jun 2010.
- Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
- Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
- Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
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Keywordsoptimal investment strategies; robustnes properties;
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