Geodesic
Convergence of optimal strategies in a discrete time market with finite horizon
Rafa/l Kucharski1
1 Institute of Mathematics Polish Academy of Sciences ęniadeckich 8 00-956 Warszawa, Poland
Applicationes Mathematicae, Tome 33 (2006) no. 1, pp. 85-93 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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.
DOI : 10.4064/am33-1-7
Keywords: discrete time financial market model finite time horizon considered together sequence investors whose preferences described convergent sequence strictly increasing strictly concave utility functions existence unique optimal consumption investment strategies their convergence limit strategy shown

Rafa/l Kucharski 1

1 Institute of Mathematics Polish Academy of Sciences ęniadeckich 8 00-956 Warszawa, Poland 
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Rafa/l Kucharski. Convergence of optimal strategies in
 a discrete time market with finite horizon. Applicationes Mathematicae, Tome 33 (2006) no. 1, pp. 85-93. doi: 10.4064/am33-1-7

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