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- W1754779968 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." @default.
- W1754779968 created "2016-06-24" @default.
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- W1754779968 date "2015-05-15" @default.
- W1754779968 modified "2023-09-27" @default.
- W1754779968 title "On asymptotic optimality of Merton's myopic portfolio strategies under time discretization" @default.
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- W1754779968 doi "https://doi.org/10.1093/imamci/dnv020" @default.
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