Utility maximization in an illiquid market

DOI10.1080/17442508.2013.795568zbMath1284.91193OpenAlexW3122349323WikidataQ57635895 ScholiaQ57635895MaRDI QIDQ5410805

Mirjana Vukelja, Halil Mete Soner

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/90320

zbMATH Keywords

dynamic programmingutility maximizationprice impactliquidity risklimit order book

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Utility maximization in an illiquid market in continuous time, Smooth investment, On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs, Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Utility maximization in an illiquid market in continuous time
• Option hedging for small investors under liquidity costs
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Liquidity risk and arbitrage pricing theory
• Continuous Auctions and Insider Trading
• LIQUIDITY IN A BINOMIAL MARKET