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
Authors:	Napp, Clotilde ; Jouini, Elyès
Institutions:	HAL
Subject:	optimal investment strategies \| robustnes properties

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00151579/en/ Published, Finance and Stochastics, 2004, VIII, 1, 133-144
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008792732