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arXiv · 2002.09445

Stability of the indirect utility process

Oleksii Mostovyi
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Abstract

We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect-utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.

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Oleksii Mostovyi. 2020-02-21. Stability of the indirect utility process. https://arxiv.org/abs/2002.09445

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