Horizon dependence of utility optimizers in incomplete models

Kasper Larsen and Hang Yu

Papers from arXiv.org

Abstract: This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are continuous with respect to the time horizon $T$. Secondly, we exemplify that the expected utility stemming from applying the $T$-horizon optimizer on a shorter time horizon $S$, $S

Date: 2010-06, Revised 2010-10
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1006.5057

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