On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
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Open access
Authors
Rodkina, A.
Dokuchaev, Nikolai
Date
2015Type
Journal Article
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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
Collection
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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