On asymptotic optimality of Merton's myopic portfolio strategies under time discretization (Q4684005)
From MaRDI portal
scientific article; zbMATH DE number 6944589
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On asymptotic optimality of Merton's myopic portfolio strategies under time discretization |
scientific article; zbMATH DE number 6944589 |
Statements
On asymptotic optimality of Merton's myopic portfolio strategies under time discretization (English)
0 references
27 September 2018
0 references
optimal portfolio
0 references
utility
0 references
discretization
0 references
discrete-time Itô formula
0 references
