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

Abstract : 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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Cited literature [12 references]

https://hal.archives-ouvertes.fr/hal-00004126
Contributor : Laurence Carassus <>
Submitted on : Wednesday, February 2, 2005 - 5:06:39 PM
Last modification on : Wednesday, December 9, 2020 - 3:12:10 PM
Long-term archiving on: : Monday, September 10, 2012 - 6:23:23 PM

### Identifiers

• HAL Id : hal-00004126, version 1

### Citation

Laurence Carassus, Miklos Rasonyi. Optimal strategies and utility-based prices converge when agents' preferences do. 2005. ⟨hal-00004126⟩

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