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Mathematics and Financial Economics

Erschienen in:

08.07.2020

Continuity of utility maximization under weak convergence

verfasst von: Erhan Bayraktar, Yan Dolinsky, Jia Guo

Erschienen in: Mathematics and Financial Economics | Ausgabe 4/2020

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Abstract

In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak convergence result for the terminal wealths of the optimal portfolios. Finally, we apply our results to the computation of the minimal expected shortfall (shortfall risk) in the Heston model by building an appropriate lattice approximation.

Vorheriger Artikel Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility

Nächster Artikel Capital allocation rules and acceptance sets

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Titel: Continuity of utility maximization under weak convergence
verfasst von: Erhan Bayraktar
Yan Dolinsky
Jia Guo
Publikationsdatum: 08.07.2020
Verlag: Springer Berlin Heidelberg
Erschienen in: Mathematics and Financial Economics / Ausgabe 4/2020
Print ISSN: 1862-9679
Elektronische ISSN: 1862-9660
DOI: https://doi.org/10.1007/s11579-020-00274-x

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