A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
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Publication:3005846
DOI10.1111/j.1467-9965.2008.00350.xzbMath1214.91107OpenAlexW1994353573MaRDI 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 equationsliquidityrandom trading timesportfolio/consumption problemcost of liquidity
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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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
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