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    On asymptotic optimality of Merton's myopic portfolio strategies under time discretization

    227787_155593_RodkinaDokuchaevIMAMCI-2014-039.pdf (337.7Kb)
    Access Status
    Open access
    Authors
    Rodkina, A.
    Dokuchaev, Nikolai
    Date
    2015
    Type
    Journal Article
    
    Metadata
    Show full item record
    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
    DOI
    10.1093/imamci/dnv020
    ISSN
    0265-0754
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/5382
    Collection
    • Curtin Research Publications
    Abstract

    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.

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