Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers
نویسنده
چکیده
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.
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عنوان ژورنال:
- Math. Meth. of OR
دوره 76 شماره
صفحات -
تاریخ انتشار 2012