Continuity of Utility Maximization under Weak Convergence
Mathematical Finance
2020-06-19 v5 Optimization and Control
Probability
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.
Keywords
Cite
@article{arxiv.1811.01420,
title = {Continuity of Utility Maximization under Weak Convergence},
author = {Erhan Bayraktar and Yan Dolinsky and Jia Guo},
journal= {arXiv preprint arXiv:1811.01420},
year = {2020}
}
Comments
Keywords: Incomplete Markets, Utility Maximization, Weak Convergence. To appear in Mathematics and Financial Economics