Optimal asset allocation with restrictions on liquidity

DOI10.1080/07362994.2021.1959349zbMath1498.91400OpenAlexW3194262358MaRDI QIDQ5097432

Chuan Xu, Negash G. Medhin

Publication date: 23 August 2022

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2021.1959349

zbMATH Keywords

Hamilton-Jacobi-Bellman equationliquidityoptimal asset allocationhyperbolic absolute risk aversion utility function

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
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• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Financial Modelling with Jump Processes
• Optimal allocation–consumption problem for a portfolio with an illiquid asset

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