Convergence of optimal strategies in a discrete time market with finite horizon
Volume 33 / 2006
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.
