Illiquidity, position limits, and optimal investment for mutual funds

DOI10.1016/J.JET.2011.03.014zbMath1247.91170OpenAlexW2159161803MaRDI QIDQ634528

Hanqing Jin, Min Dai, Hong Liu

Publication date: 16 August 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2011.03.014

zbMATH Keywords

transaction costsportfolio constraintsilliquidityoptimal investmentmutual fundsposition limits

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (6)

Optimal investment in an illiquid market with search frictions and transaction costs ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Pairs trading with illiquidity and position limits ⋮ On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model ⋮ Managing inventory with proportional transaction costs ⋮ Optimal investment problem for an open-end fund with dynamic flows

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• Some mathematical results in the pricing of American options
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