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...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Elsevier BV
2007
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/23003 |
| _version_ | 1848751030578184192 |
|---|---|
| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 is analyzed. It is found that the performance of optimal myopic diffusion strategies cannot be approximated by optimal strategies with discrete time transactions that are optimal for the related discrete time market model. |
| first_indexed | 2025-11-14T07:46:15Z |
| format | Journal Article |
| id | curtin-20.500.11937-23003 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:46:15Z |
| publishDate | 2007 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-230032019-02-19T04:25:53Z Discrete time market with serial correlations and optimal myopic strategies. Dokuchaev, Nikolai control - stochastic processes economics optimal portfolio 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 is analyzed. It is found that the performance of optimal myopic diffusion strategies cannot be approximated by optimal strategies with discrete time transactions that are optimal for the related discrete time market model. 2007 Journal Article http://hdl.handle.net/20.500.11937/23003 10.1016/j.ejor.2006.01.004 Elsevier BV fulltext |
| spellingShingle | control - stochastic processes economics optimal portfolio Dokuchaev, Nikolai Discrete time market with serial correlations and optimal myopic strategies. |
| title | Discrete time market with serial correlations and optimal myopic strategies. |
| title_full | Discrete time market with serial correlations and optimal myopic strategies. |
| title_fullStr | Discrete time market with serial correlations and optimal myopic strategies. |
| title_full_unstemmed | Discrete time market with serial correlations and optimal myopic strategies. |
| title_short | Discrete time market with serial correlations and optimal myopic strategies. |
| title_sort | discrete time market with serial correlations and optimal myopic strategies. |
| topic | control - stochastic processes economics optimal portfolio |
| url | http://hdl.handle.net/20.500.11937/23003 |