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

dc.contributor.author	Rodkina, A.
dc.contributor.author	Dokuchaev, Nikolai
dc.date.accessioned	2017-01-30T10:45:46Z
dc.date.available	2017-01-30T10:45:46Z
dc.date.created	2015-07-16T06:22:02Z
dc.date.issued	2015
dc.identifier.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.
dc.identifier.uri	http://hdl.handle.net/20.500.11937/5382
dc.identifier.doi	10.1093/imamci/dnv020
dc.description.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.
dc.publisher	Oxford University Press
dc.subject	utility
dc.subject	discretization
dc.subject	discrete time Ito formula
dc.subject	optimal portfolio
dc.title	On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
dc.type	Journal Article
dcterms.source.volume	TBA
dcterms.source.issn	0265-0754
dcterms.source.title	IMA Journal of Mathematical Control and Information
curtin.department	Department of Mathematics and Statistics
curtin.accessStatus	Open access

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