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

@article{RafałKucharski2006,
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.},
author = {Rafał Kucharski},
journal = {Applicationes Mathematicae},
keywords = {utility maximization; dynamic programming; optimal strategies},
language = {eng},
number = {1},
pages = {85-93},
title = {Convergence of optimal strategies in a discrete time market with finite horizon},
url = {http://eudml.org/doc/278860},
volume = {33},
year = {2006},
}

TY - JOUR
AU - Rafał Kucharski
TI - Convergence of optimal strategies in a discrete time market with finite horizon
JO - Applicationes Mathematicae
PY - 2006
VL - 33
IS - 1
SP - 85
EP - 93
AB - 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.
LA - eng
KW - utility maximization; dynamic programming; optimal strategies
UR - http://eudml.org/doc/278860
ER -