Optimal strategies and utility-based prices converge when agents' preferences do - Archive ouverte HAL
Article Dans Une Revue Mathematics of Operations Research Année : 2007

Optimal strategies and utility-based prices converge when agents' preferences do

Résumé

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

hal-00004126 , version 1 (02-02-2005)

Identifiants

Citer

Laurence Carassus, Miklós Rásonyi. Optimal strategies and utility-based prices converge when agents' preferences do. Mathematics of Operations Research, 2007, 32 (1), pp.102-117. ⟨10.1287/moor.1060.0220⟩. ⟨hal-00004126⟩
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