Optimal allocation–consumption problem for a portfolio with an illiquid asset

DOI10.1080/00207160.2013.877584zbMath1386.91121OpenAlexW2093546335MaRDI QIDQ5739576

Ljudmila A. Bordag, Ivan P. Yamshchikov, Dmitrii Zhelezov

Publication date: 19 July 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.877584

zbMATH Keywords

portfolio optimizationviscosity solutionsilliquidityrandom income

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)

Related Items (3)

Optimization problem for a portfolio with an illiquid asset: Lie group analysis ⋮ Optimal asset allocation with restrictions on liquidity ⋮ Lie Group Analysis of Nonlinear Black-Scholes Models

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Hedging in incomplete markets with HARA utility
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
• Optimal investment and consumption models with non-linear stock dynamics
• Controlled Markov processes and viscosity solutions
• Optimal Investment With Undiversifiable Income Risk

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