Optimal portfolio of low liquid assets with a log-utility function

DOI10.1007/s00780-005-0172-9zbMath1092.91028OpenAlexW2024801093MaRDI QIDQ2488509

Koichi Matsumoto

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-005-0172-9

zbMATH Keywords

liquidityportfolio optimisationlog-utility function

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Utility theory (91B16) Portfolio theory (91G10)

Related Items (17)

Dynamic programming and mean-variance hedging with partial execution risk ⋮ Portfolio insurance with liquidity risk ⋮ Optimal portfolios of a small investor in a limit order market: a shadow price approach ⋮ Optimal asset allocation under search frictions and stochastic interest rate ⋮ Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach ⋮ Expected power-utility maximization under incomplete information and with Cox-process observations ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Optimal consumption policies in illiquid markets ⋮ Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset ⋮ Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times ⋮ On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ A coupled system of integrodifferential equations arising in liquidity risk model ⋮ Mean-variance portfolio selection in presence of infrequently traded stocks ⋮ OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS ⋮ Optimal growth rate in random trade time ⋮ Mean-Variance Hedging with Uncertain Trade Execution

This page was built for publication: Optimal portfolio of low liquid assets with a log-utility function