  This paper solves the dynamic portfolio choice problem. Using an explicit
solution with a power utility, we construct a bridge between a continuous and
discrete VAR model to assess portfolio sensitivities. We find, from a well
analyzed example that the optimal allocation to stocks is particularly
sensitive to Sharpe ratio. Our quantitative analysis highlights that this
sensitivity increases when the risk aversion decreases and/or when the time
horizon increases. This finding explains the low accuracy of discrete numerical
methods especially along the tails of the unconditional distribution of the
state variable.
