A model of optimal portfolio selection under liquidity risk and price impact

DOI10.1007/s00780-006-0025-1zbMath1145.91025MaRDI QIDQ2463703

Huyên Pham, Vathana Ly Vath, Mohammed Mnif

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1007/s00780-006-0025-1

zbMATH Keywords

impulse control; portfolio selection; state constraint; discontinuous viscosity solutions; liquidity risk

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

91G10: Portfolio theory

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