Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers

Johannes Temme ()

Mathematical Methods of Operations Research, 2012, vol. 76, issue 1, 41 pages

Abstract: We consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Lévy 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. Copyright Springer-Verlag 2012

Keywords: Utility maximization; Power utility; Exponential Lévy process; Discretization; Primary 91B28; 91B16; Secondary 60G51 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00186-012-0388-3

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