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

Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models