Financial/Actuarial Mathematics Seminar

We study the continuity of the utility maximization problem under weak convergence. The first part deals with the friction less case where 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.

In the second part we study the continuity of the utility maximization problem in the presence of proportional transaction costs. Our main result says that the extended weak convergence of the underlying processes implies the convergence of the values of the corresponding utility maximization problems. Surprisingly, for the proportional transaction costs setup continuity holds under weaker assumptions than in the friction less case.

Based on joint work with E. Bayraktar , L.Dolinskyi and J. Guo Speaker(s): Yan Dolinsky (University of Jerusalem)