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- W4206381791 abstract "We show that the maximal expected utility satisfies a monotone continuity property with respect to increasing information. Let be a sequence of increasing filtrations converging to , and let u n ( x ) and u ∞ ( x ) be the maximal expected utilities when investing in a financial market according to strategies adapted to and , respectively. We give sufficient conditions for the convergence u n ( x ) → u ∞ ( x ) as n → ∞. We provide examples in which convergence does not hold. Then we consider the respective utility-based prices, π n and π ∞ , of contingent claims under ( G t n ) and ( G t ∞ ). We analyse to what extent π n → π ∞ as n → ∞." @default.
- W4206381791 created "2022-01-26" @default.
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- W4206381791 date "2006-09-01" @default.
- W4206381791 modified "2023-10-14" @default.
- W4206381791 title "Monotone utility convergence" @default.
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- W4206381791 doi "https://doi.org/10.1017/s0021900200001984" @default.
- W4206381791 hasPublicationYear "2006" @default.
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