Convergence of utility functions and convergence of optimal strategies

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.

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Year of publication:	2004-01
Authors:	Napp, Clotilde ; Jouini, Elyès
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	optimal strategies

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Finance and Stochastics, 2004, Vol. 8, no. 1. pp. 133-144.Length: 11 pages
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010707266