Optimal portfolios of a small investor in a limit order market: a shadow price approach
From MaRDI portal
Publication:1932532
DOI10.1007/s11579-010-0027-9zbMath1255.91449MaRDI QIDQ1932532
Maximilian Stroh, Christoph Kühn
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-010-0027-9
Related Items
Unnamed Item, Almost Surely Optimal Portfolios Under Proportional Transaction Costs, OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION, Optimal high-frequency trading with limit and market orders, Recent advances in reinforcement learning in finance, A Leland model for delta hedging in central risk books, On the existence of shadow prices, On using shadow prices in portfolio optimization with transaction costs, Markets with random lifetimes and private values: mean reversion and option to trade, Optimal liquidity provision, Continuous time trading of a small investor in a limit order market, Optimal investment in an illiquid market with search frictions and transaction costs, Asymptotics and duality for the Davis and Norman problem
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- On using shadow prices in portfolio optimization with transaction costs
- A note on stochastic integration with respect to optional semimartingales
- Reflected diffusion processes with jumps
- Optimal investment and consumption with transaction costs
- Optimal portfolios for logarithmic utility.
- Optimal portfolio of low liquid assets with a log-utility function
- A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
- Stochastic Integrals with Respect to Optional Semimartingales and Random Measures
- Portfolio Selection with Transaction Costs
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item