On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market

2014/03/18 by Alexandra Rodkina, Rodkina, Alexandra, Nikolai Dokuchaev +1
Economics, Econometrics and Finance · Mathematics · #91G10 #93E20 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #math.OC #msc:91G10 #msc:93E20 #q-fin.PM

paper · pdf · doi:10.48550/arxiv.1403.4329

arxiv created 2014/11/25 · arxiv updated 2014/11/26

Abstract

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 the sufficiently small time steps

Related

• The structure of optimal portfolio strategies for continuous time\n markets
• Time consistent portfolio strategies for a general utility function
• Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
• Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot
• Time-consistent investment and consumption strategies under a general discount function