Convergence of utility functions and convergence of optimal strategies

Elyès Jouini () and Clotilde Napp

Finance and Stochastics, 2004, vol. 8, issue 1, 133-144

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. Copyright Springer-Verlag Berlin/Heidelberg 2004

Date: 2004
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DOI: 10.1007/s00780-003-0106-3

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