On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
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 stra...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Oxford University Press
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/5382 |