Convergence of utility functions and convergence of optimal strategies

Finance and Stochastics

Volumn 8, Issue 1, 2004, Pages 133-144

  Jouini, Elyés ^a   Napp, Clotilde ^b  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b CREST   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 24144477250     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-003-0106-3     Document Type: Article

References (10)

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4. Grasselli, M.: Pension funds: a mathematical finance approach. PhD thesis, Université de Paris 1 2001
5. Karatzas, I.: Optimization problems in the theory of continuous trading. SIAM J. Control Optimization 27, 1221-1259 (1989)
6. Karatzas, I., Lehoczky, J. P., Shreve, S. E.: Optimal portfolio and consumption decisions for a "small investor" on a finite horizon. SIAM J. Control Optimization 25, 1557-1586 (1987)
7. Karatzas, I., Lehoczky, J. P., Shreve, S. E., Xu, G. L.: Martingale and duality methods for utility maximization in an incomplete market. SIAM J. Control Optimization 25, 1557-1586 (1991)
8. Kramkov, D., Schachermayer, W.: The asymptotic elasticity of utility functions and optimal investment in incomplete market. Ann. Appl. Probab. 9, 904-950 (1999)
9. Merton, R. C.: Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3, 373-413 (1971)
10. Rockafellar, R.T.: Convex analysis. Princeton, NJ: Princeton University Press 1970