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Optimal Investment with Transient Price Impact - MaRDI portal

Optimal Investment with Transient Price Impact (Q4971979)

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scientific article; zbMATH DE number 7135136
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English
Optimal Investment with Transient Price Impact
scientific article; zbMATH DE number 7135136

    Statements

    title
    Optimal Investment with Transient Price Impact (English)
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    author
    Peter Bank
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    Moritz Voß
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    publication date
    22 November 2019
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    zbMATH Keywords
    problem of maximizing expected utility
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    finite planning horizon
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    transient price impact
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    singular optimal stochastic control problem
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    convex analysis
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    calculus of variations
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    free boundary problem
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    Identifiers

    DOI
    10.1137/18M1182267;
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    Mathematics Subject Classification ID
    91G15
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    91G10
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    91G80
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    93E20
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    35Q91
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    zbMATH DE Number
    7135136
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    arXiv ID
    1804.07392
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