OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS

DOI10.1142/S0219024911006243zbMath1210.91121arXiv0907.2203OpenAlexW2139576546MaRDI QIDQ3086254

Mihai Sîrbu, Huyên Pham, Paul Gassiat

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.2203

zbMATH Keywords

dynamic programminginhomogeneous Poisson processoptimal investmentliquidity modellingdiscrete order flow

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Related Items (3)

Expected power-utility maximization under incomplete information and with Cox-process observations ⋮ On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations

Cites Work

• Stochastic optimal control. The discrete time case
• Optimal portfolio of low liquid assets with a log-utility function
• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

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