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Convergence of utility functions and convergence of optimal strategies

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Date
2004
Link to item file
http://halshs.archives-ouvertes.fr/halshs-00176444/en/
Dewey
Economie financière
Sujet
optimal strategies
JEL code
G11
Journal issue
Finance and Stochastics
Volume
8
Number
1
Publication date
01-2004
Article pages
133-144
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s00780-003-0106-3
URI
https://basepub.dauphine.fr/handle/123456789/355
Collections
  • DRM : Publications
  • CEREMADE : Publications
Metadata
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Author
Napp, Clotilde
Jouini, Elyès
Type
Article accepté pour publication ou publié
Abstract (EN)
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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