On Myopic Strategies for Discrete Time Market with Serial Correlation

Dokuchaev, Nikolai

doi:10.2139/ssrn.512385

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On Myopic Strategies for Discrete Time Market with Serial Correlation

21 Pages Posted: 9 Mar 2004

See all articles by Nikolai Dokuchaev

Nikolai Dokuchaev

Zhejiang University/University of Illinois at Urbana-Champaign Institute

Abstract

Optimal investment problem is studied for discrete time market models with serial correlations. It is found sufficient conditions that ensure that the optimal strategy is myopic for the case of power or log utility function. The possibility of discrete time approximation of optimal continuous time strategies for diffusion market is analyzed.

Keywords: Optimal portfolio, discrete time market, diffusion market, myopic strategies

JEL Classification: D52, D81, D84, G11

Suggested Citation: Suggested Citation

Dokuchaev, Nikolai, On Myopic Strategies for Discrete Time Market with Serial Correlation. Available at SSRN: https://ssrn.com/abstract=512385 or http://dx.doi.org/10.2139/ssrn.512385