Rogers, L.C.G. - In: Finance and Stochastics 5 (2001) 2, pp. 131-154
We firstly consider an investor faced with the classical Merton problem of optimal investment in a log-Brownian asset and a fixed-interest bond, but constrained only to change portfolio (and, if relevant, consumption) choices at times which are a multiple of h. We show that the cost of this...