  Consider power utility maximization of terminal wealth in a 1-dimensional
continuous-time exponential Levy model with finite time horizon. We discretize
the model by restricting portfolio adjustments to an equidistant discrete time
grid. Under minimal assumptions we prove convergence of the optimal
discrete-time strategies to the continuous-time counterpart. In addition, we
provide and compare qualitative properties of the discrete-time and
continuous-time optimizers.

Portfolio Management;Computational Finance;Pricing of Securities