Optimal asset allocation with restrictions on liquidity

DOI10.1080/07362994.2021.1959349MaRDI QIDQ5097432zbMATH OpenOpenAlexFDO

Authors Chuan Xu, Negash G. Medhin

Publication date 23 August 2022

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2021.1959349

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal asset allocationliquidityhyperbolic absolute risk aversion utility function

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Financial Modelling with Jump Processes
• Optimal allocation–consumption problem for a portfolio with an illiquid asset
• Optimal investment and consumption with transaction costs
• Optimization problem for a portfolio with an illiquid asset: Lie group analysis
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio choice and pricing in illiquid markets
• Portfolio selection with transactions costs

Cited in

(9)

• scientific article; zbMATH DE number 2110050 (Why is no real title available?)
• Investing with liquid and illiquid assets
• Optimal asset allocation with fixed-term securities
• Managing liquidity with portfolio staleness
• Optimal portfolio on tracking the expected wealth process with liquidity constraints
• Optimal portfolio of low liquid assets with a log-utility function
• Optimal allocation–consumption problem for a portfolio with an illiquid asset
• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
• Portfolio optimization with private equity funds considering regret aversion

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