Optimal investment in an illiquid market with search frictions and transaction costs
From MaRDI portal
Publication:2701076
DOI10.1007/s00245-023-09971-7OpenAlexW3124815875MaRDI QIDQ2701076
Publication date: 27 April 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.09936
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Duality theory for portfolio optimisation under transaction costs
- Transaction costs, trading volume, and the liquidity premium
- Optimal consumption policies in illiquid markets
- Illiquidity, position limits, and optimal investment for mutual funds
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Optimal investment with random endowments in incomplete markets.
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Optimal portfolios of a small investor in a limit order market: a shadow price approach
- A multi-asset investment and consumption problem with transaction costs
- Extended weak convergence and utility maximisation with proportional transaction costs
- Optimal portfolio of low liquid assets with a log-utility function
- Asymptotic analysis for Merton's problem with transaction costs in power utility case
- Utility Maximization Trading Two Futures with Transaction Costs
- Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
- Transaction Costs, Shadow Prices, and Duality in Discrete Time
- Optimal Execution in a General One-Sided Limit-Order Book
- A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Asymptotics and duality for the Davis and Norman problem
- Investment/Consumption Problem in Illiquid Markets with Regime-Switching
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Liquidity and Asset Prices
- Continuous Auctions and Insider Trading
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- INVESTING WITH LIQUID AND ILLIQUID ASSETS
- On an Investment-Consumption Model with Transaction Costs
- Optimal consumption and investment with liquid and illiquid assets
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- Optimal high-frequency trading with limit and market orders
- Portfolio Selection with Transaction Costs
- The relaxed investor and parameter uncertainty
