Convergence of utility functions and convergence of optimal strategies

被引：18

作者：

Jouini, E ^{[1
]}

Napp, C ^{[1
]}

机构：

[1] Univ Paris 09, CEREMADE, F-75116 Paris 16, France

来源：

FINANCE AND STOCHASTICS | 2004年 / 8卷 / 01期

关键词：

D O I：

10.1007/s00780-003-0106-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：133 / 144

页数：12

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