Discrete time market with serial correlations and optimal myopic strategies.

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Elsevier BV 2007
Subjects:	control - stochastic processes economics optimal portfolio
Online Access:	http://hdl.handle.net/20.500.11937/23003

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