Convergence of utility functions and convergence of optimal strategies

Clotilde Napp (1, 2) , Elyès Jouini (2)

1 CREST - Centre de Recherche en Économie et Statistique
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

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.

Mots clés: optimal investment strategies; robustnes properties

Domaines: Méthodes et statistiques; Economies et finances; Gestion et management

Clotilde Napp, Elyès Jouini. Convergence of utility functions and convergence of optimal strategies. Finance and Stochastics, 2004, VIII (1), pp.133-144. ⟨halshs-00151579⟩