On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
Access Status
Open access
Authors
Rodkina, A.
Dokuchaev, Nikolai
Date
2015Collection
Type
Journal Article
Metadata
Show full item recordAbstract
This paper studies the properties of discrete-time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous-time strategies can be used effectively for a discrete-time market after a straightforward discretization. We found that Merton's strategy approximates the performance of the optimal strategy in a discrete-time model with sufficiently small time steps.
Citation
Rodkina, A. and Dokuchaev, N. 2015. On asymptotic optimality of Merton's myopic portfolio strategies under time discretization. IMA Journal of Mathematical Control and Information. 33 (4): pp. 979-996.
Source Title
IMA Journal of Mathematical Control and Information
Department
Department of Mathematics and Statistics
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