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Tekijä:Branger, N.
Breuer, B.
Schlag, C.
Otsikko:Discrete-time implementation of continuous-time portfolio strategies
Lehti:European Journal of Finance
2010 : JAN/FEB, VOL. 16:1-2, p. 137-152
Asiasana:portfolio selection
strategy
assets
allocation
trading
derivative securities
models
Kieli:eng
Tiivistelmä:This paper analyzes the discretization error in a simulation study for a plenty of models. It is found that time discreteness can be neglected when only the stock and the money market account are traded, even in models with stochastic volatility and jumps. On the other hand, when derivatives (hereafter as: dervs.) are traded the utility loss because of discrete trading can be much larger than the utility gain from having access to dervs. To benefit from dervs., the the investor needs to rebalance his portfolio at least daily.
SCIMA tietueen numero: 272224
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