Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by utility functions Un defined on the whole real line. It is shown, under suitable hypotheses, that whenever Un tends to a utility function U∞, the respective optimal strategies, the Davis and Hodges-Neuberger prices converge, too. Under additional assumptions the rate of convergence can also be estimated.

• Type: Journal
• Year: 2007
• Where: MOR
• Authors: Laurence Carassus, Miklós Rásonyi
• Keywords: Discrete-time financial Market, MOR 2007, Respective Optimal Strategies, Utility Function