Convergence of utility functions and convergence of optimal strategies
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Publication:1887267
DOI10.1007/s00780-003-0106-3zbMath1052.91047OpenAlexW2029102758MaRDI QIDQ1887267
Publication date: 24 November 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00151579/file/FS_04.pdf
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Influence of risk tolerance on long-term investments: a Malliavin calculus approach ⋮ Cooperative investment in incomplete markets under financial fairness ⋮ Shortfall risk minimising strategies in the binomial model: characterisation and convergence ⋮ Risk aversion asymptotics for power utility maximization ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Optimal investment and price dependence in a semi-static market ⋮ Partial equilibria with convex capital requirements: existence, uniqueness and stability ⋮ Some stability results of optimal investment in a simple Lévy market ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Stability of utility-maximization in incomplete markets ⋮ MDP algorithms for portfolio optimization problems in pure jump markets ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ Continuity of utility maximization under weak convergence ⋮ STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
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