A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
From MaRDI portal
Publication:3005846
DOI10.1111/j.1467-9965.2008.00350.xzbMath1214.91107MaRDI QIDQ3005846
Publication date: 9 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00350.x
integro-differential equations; liquidity; random trading times; portfolio/consumption problem; cost of liquidity
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory
Related Items
Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times, On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints, Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach, Optimal consumption policies in illiquid markets, On optimal investment in a reinsurance context with a point process market model, Optimal portfolios of a small investor in a limit order market: a shadow price approach, Expected power-utility maximization under incomplete information and with Cox-process observations, Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset, 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
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Martingales and arbitage in securities markets with transaction costs
- A coupled system of integrodifferential equations arising in liquidity risk model
- Some control problems with random intervention times
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- Portfolio Selection with Transaction Costs
- Unnamed Item
- Unnamed Item
