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 |
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Oxford University Press
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/5382 |
| _version_ | 1848744781364068352 |
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| author | Rodkina, A. Dokuchaev, Nikolai |
| author_facet | Rodkina, A. Dokuchaev, Nikolai |
| author_sort | Rodkina, A. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T06:06:55Z |
| format | Journal Article |
| id | curtin-20.500.11937-5382 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:06:55Z |
| publishDate | 2015 |
| publisher | Oxford University Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-53822017-09-13T14:42:51Z On asymptotic optimality of Merton's myopic portfolio strategies under time discretization Rodkina, A. Dokuchaev, Nikolai utility discretization discrete time Ito formula optimal portfolio 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. 2015 Journal Article http://hdl.handle.net/20.500.11937/5382 10.1093/imamci/dnv020 Oxford University Press fulltext |
| spellingShingle | utility discretization discrete time Ito formula optimal portfolio Rodkina, A. Dokuchaev, Nikolai On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
| title | On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
| title_full | On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
| title_fullStr | On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
| title_full_unstemmed | On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
| title_short | On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
| title_sort | on asymptotic optimality of merton's myopic portfolio strategies under time discretization |
| topic | utility discretization discrete time Ito formula optimal portfolio |
| url | http://hdl.handle.net/20.500.11937/5382 |