Optimal consumption and investment with liquid and illiquid assets

DOI10.1111/MAFI.12221OpenAlexW2912669042MaRDI QIDQ5109978

Jin Hyuk Choi

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.06998

zbMATH Keywords

stochastic controltransaction costssingular controloptimal consumption/trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ A multi-asset investment and consumption problem with transaction costs

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