Utility maximization in an illiquid market in continuous time

DOI10.1007/s00186-016-0544-2zbMath1371.91169OpenAlexW2405210753WikidataQ57635853 ScholiaQ57635853MaRDI QIDQ343809

Mirjana Vukelja, Halil Mete Soner

Publication date: 29 November 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0544-2

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutioncomparison theoremprice impactliquidity riskweak dynamic programming

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (3)

Optimal Investment with Time-Varying Stochastic Endowments ⋮ Utility maximization in an illiquid market ⋮ Optimal Investment with Transient Price Impact

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Option hedging for small investors under liquidity costs
• Liquidity risk and arbitrage pricing theory
• Controlled Markov processes and viscosity solutions
• RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
• Weak Dynamic Programming Principle for Viscosity Solutions
• Optimal Control with State-Space Constraint I
• User’s guide to viscosity solutions of second order partial differential equations
• LIQUIDITY IN A BINOMIAL MARKET
• Weak Dynamic Programming for Generalized State Constraints
• Liquidity Models in Continuous and Discrete Time
• Utility maximization in an illiquid market

This page was built for publication: Utility maximization in an illiquid market in continuous time