Convergence of utility functions and convergence of optimal strategies

In this paper we study the stability (in the L <Superscript> p </Superscript> 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

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Year of publication:	2004
Authors:	Jouini, Elyès ; Napp, Clotilde
Published in:	Finance and Stochastics. - Springer. - Vol. 8.2004, 1, p. 133-144
Publisher:	Springer

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005390657