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

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  • Alexandra Rodkina
  • Nikolai Dokuchaev

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

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  • Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org, revised Nov 2014.
    • Handle: RePEc:arx:papers:1403.4329
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    References listed on IDEAS

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