Continuity of utility maximization under weak convergence

Erhan Bayraktar; Yan Dolinsky; Jia Guo

doi:10.1007/s11579-020-00274-x

Continuity of utility maximization under weak convergence

Erhan Bayraktar^*, Yan Dolinsky, Jia Guo

^*Corresponding author for this work

Department of Statistics

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

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.

Original language	English
Pages (from-to)	725-757
Number of pages	33
Journal	Mathematics and Financial Economics
Volume	14
Issue number	4
DOIs	https://doi.org/10.1007/s11579-020-00274-x
State	Published - 1 Sep 2020

Bibliographical note

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

Keywords

91G10
91G20
Incomplete markets
Utility maximization
Weak convergence

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KW - 91G20

KW - Incomplete markets

KW - Utility maximization

KW - Weak convergence

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Continuity of utility maximization under weak convergence

Abstract

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Keywords

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