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Stability of the indirect utility process

Oleksii Mostovyi

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Abstract: We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect-utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.

Date: 2020-02
New Economics Papers: this item is included in nep-upt
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Handle: RePEc:arx:papers:2002.09445