Breuer, Beate; Branger, Nicole; Schlag, Christian - Society for Computational Economics - SCE - 2006
held, but the investor has to implement the continuous-time strategy in discrete time. This leads to the question how …, we show that discrete trading can be neglected if only the stock and the money market account are traded, even in models … the opposite is true if derivatives are traded. In this case, the utility loss due to discrete trading may be much larger …