On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
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
ISSN
School
Department of Mathematics and Statistics
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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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