Continuity of Utility Maximization under Weak Convergence

Erhan Bayraktar, Yan Dolinsky and Jia Guo

Papers from arXiv.org

Abstract: In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak convergence result for the terminal wealths of the optimal portfolios. Finally, we apply our results to the computation of the minimal expected shortfall (shortfall risk) in the Heston model by building an appropriate lattice approximation.

Date: 2018-11, Revised 2020-06
New Economics Papers: this item is included in nep-mic and nep-upt
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1811.01420

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