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

Alexandra Rodkina and Nikolai Dokuchaev

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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

Date: 2014-03, Revised 2014-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1403.4329

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