Continuity of utility maximization under weak convergence

被引：0
作者：
Erhan Bayraktar
Yan Dolinsky
Jia Guo
机构：
[1] University of Michigan,Department of Mathematics
[2] Hebrew University,Department of Statistics
[3] University of Michigan,Department of Mathematics
来源：
Mathematics and Financial Economics | 2020年 / 14卷
关键词：
Incomplete markets; Utility maximization; Weak convergence; 91G10; 91G20; G11; C65;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak convergence result for the terminal wealths of the optimal portfolios. Finally, we apply our results to the computation of the minimal expected shortfall (shortfall risk) in the Heston model by building an appropriate lattice approximation.
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页码：725 / 757
页数：32
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