Continuity of Utility Maximization under Weak Convergence
27 Pages Posted: 7 Nov 2018
Date Written: November 4, 2018
In this paper we find sufficient conditionsfor the continuity of the utility maximization problem from terminal wealth under convergence in distribution of the underlying processes. We provide several examples which illustrate that without these conditions, we cannot generally expect continuity to hold. Finally, we apply our continuity results to numerical computations of the shortfall risk in the Heston model.
Keywords: Incomplete Markets, Utility Maximization, Weak Convergence
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