Date of Original Version

10-4-2010

Type

Article

Rights Management

The final publication is available at Springer via http://dx.doi.org/10.1007/s00780-012-0171-6

Abstract or Description

This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are continuous with respect to the time horizon T. Secondly, we exemplify that the expected utility stemming from applying the T-horizon optimizer on a shorter time horizonS<T may fail to converge to the T-horizon value as ST. Finally, we provide necessary and sufficient conditions preventing the existence of this phenomenon.

DOI

10.1007/s00780-012-0171-6

Included in

Mathematics Commons

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Published In

Finance and Stochastics, 16, 4, 779-801.