Continuity of Utility Maximization under Weak Convergence
28 Pages Posted: 7 Nov 2018 Last revised: 6 Dec 2018
Date Written: November 4, 2018
In this paper we find 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 provide several examples which illustrate that without these conditions, we cannot generally expect continuity to hold. Finally, we apply our results to the computation of the minimum shortfall in the Heston model by building an appropriate lattice approximation.
Keywords: Incomplete Markets, Utility Maximization, Weak Convergence
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