Convergence of optimal strategies in a discrete time market with finite horizon

Volume 33 / 2006

Rafa/l Kucharski Applicationes Mathematicae 33 (2006), 85-93 MSC: 49L20, 91B16, 91B28, 93E20. DOI: 10.4064/am33-1-7

Abstract

A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.

Authors

  • Rafa/l KucharskiInstitute of Mathematics
    Polish Academy of Sciences
    ęniadeckich 8
    00-956 Warszawa, Poland
    e-mail

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