Optimal Consumption-Portfolio Policies: A Convergence from Discrete to Continuous Time Models
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Bibliographic InfoPaper provided by University of California at Berkeley in its series Research Program in Finance Working Papers with number RPF-209.
Date of creation: 01 Apr 1991
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Other versions of this item:
- He, Hua, 1991. "Optimal consumption-portfolio policies: A convergence from discrete to continuous time models," Journal of Economic Theory, Elsevier, vol. 55(2), pages 340-363, December.
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- 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.
- 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 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.
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