Convergence of utility functions and convergence of optimal strategies

DOI10.1007/S00780-003-0106-3zbMath1052.91047OpenAlexW2029102758MaRDI QIDQ1887267

Clotilde Napp, Elyès Jouini

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00151579/file/FS_04.pdf

zbMATH Keywords

stabilityBrownian motionfinancial marketagent's problem

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (14)

Influence of risk tolerance on long-term investments: a Malliavin calculus approach ⋮ Cooperative investment in incomplete markets under financial fairness ⋮ Shortfall risk minimising strategies in the binomial model: characterisation and convergence ⋮ Risk aversion asymptotics for power utility maximization ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Optimal investment and price dependence in a semi-static market ⋮ Partial equilibria with convex capital requirements: existence, uniqueness and stability ⋮ Some stability results of optimal investment in a simple Lévy market ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Stability of utility-maximization in incomplete markets ⋮ MDP algorithms for portfolio optimization problems in pure jump markets ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ Continuity of utility maximization under weak convergence ⋮ STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

This page was built for publication: Convergence of utility functions and convergence of optimal strategies