Convergence of utility functions and convergence of optimal strategies

Clotilde Napp and Elyès Jouini ()

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Abstract: 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.

Keywords: optimal investment strategies; robustnes properties (search for similar items in EconPapers)
Date: 2004
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00151579v1
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Published in Finance and Stochastics, 2004, VIII (1), pp.133-144

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Journal Article: Convergence of utility functions and convergence of optimal strategies (2004)
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