A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-7,
author = {Rafa\l\ Kucharski},
title = {Convergence of optimal strategies in a discrete time market with finite horizon},
journal = {Applicationes Mathematicae},
volume = {33},
year = {2006},
pages = {85-93},
zbl = {1104.49025},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-7}
}
Rafał Kucharski. Convergence of optimal strategies in a discrete time market with finite horizon. Applicationes Mathematicae, Tome 33 (2006) pp. 85-93. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-7/