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Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models

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  • Johannes Temme

Abstract

Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the optimal discrete-time strategies to the continuous-time counterpart. In addition, we provide and compare qualitative properties of the discrete-time and continuous-time optimizers.

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  • Johannes Temme, 2011. "Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models," Papers 1103.5575, arXiv.org, revised Apr 2012.
  • Handle: RePEc:arx:papers:1103.5575
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    File URL: http://arxiv.org/pdf/1103.5575
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