Continuity of utility maximization under weak convergence

Erhan Bayraktar*, Yan Dolinsky, Jia Guo

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


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.

Original languageAmerican English
Pages (from-to)725-757
Number of pages33
JournalMathematics and Financial Economics
Issue number4
StatePublished - 1 Sep 2020

Bibliographical note

Publisher Copyright:
© 2020, Springer-Verlag GmbH Germany, part of Springer Nature.


  • 91G10
  • 91G20
  • Incomplete markets
  • Utility maximization
  • Weak convergence


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