Optimal consumption-portfolio policies: A convergence from discrete to continuous time models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 55 (1991)
Issue (Month): 2 (December)
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Web page: http://www.elsevier.com/locate/inca/622869
Other versions of this item:
- Hua He., 1991. "Optimal Consumption-Portfolio Policies: A Convergence from Discrete to Continuous Time Models," Research Program in Finance Working Papers RPF-209, University of California at Berkeley.
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- Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Computational Statistics, Springer, vol. 76(1), pages 21-41, August.
- Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.
- Johannes Leitner, 2000. "Convergence of Arbitrage-free Discrete Time Markovian Market Models," CoFE Discussion Paper 00-07, Center of Finance and Econometrics, University of Konstanz.
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