A model of optimal portfolio selection under liquidity risk and price impact

DOI10.1007/s00780-006-0025-1zbMath1145.91025OpenAlexW2082791816MaRDI QIDQ2463703

Vathana Ly Vath, Huyên Pham, Mohammed Mnif

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0025-1

zbMATH Keywords

impulse controlportfolio selectionstate constraintdiscontinuous viscosity solutionsliquidity risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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