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

• Autorzy: Rafał Kucharski
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 49L20: Dynamic programming method
• 93E20: Optimal stochastic control
• 91B16: Utility theory

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2006
• Tom: 33
• Numer: 1
• Strony: 85-93

Daty

wydano

2006

Twórcy

autor

Rafał Kucharski

• Institute of Mathematics, Polish Academy of Sciences, ęniadeckich 8, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/am33-1-7