Discrete time market with serial correlations and optimal myopic strategies.
The paper studies discrete time market models with serial correlations. We found a market structure that ensures that the optimal strategy is myopic for the case of both power or logutility function. In addition, discrete time approximation of optimal continuous time strategies for diffusion market...
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| Format: | Journal Article |
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Elsevier BV
2007
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| Online Access: | http://hdl.handle.net/20.500.11937/23003 |