Convergence of optimal strategies in a discrete time market with finite horizon
Rafał Kucharski (2006)
Applicationes Mathematicae
Similarity:
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.