Discrete time market with serial correlations and optimal myopic strategies. (English) Zbl 1111.90059
Summary: The paper studies discrete time market models with serial correlations. We found a market structure that ensures that the optimal strategy is myopic for the case of both power or log utility function. In addition, discrete time approximation of optimal continuous time strategies for diffusion market is analyzed. It is found that the performance of optimal myopic diffusion strategies cannot be approximated by optimal strategies with discrete time transactions that are optimal for the related discrete time market model.
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