Convergence of utility functions and convergence of optimal strategies

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

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