Optimal asset allocation with restrictions on liquidity
DOI10.1080/07362994.2021.1959349zbMATH Open1498.91400OpenAlexW3194262358MaRDI QIDQ5097432FDOQ5097432
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
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Hamilton-Jacobi-Bellman equationoptimal asset allocationliquidityhyperbolic absolute risk aversion utility function
Portfolio theory (91G10) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
- Financial Modelling with Jump Processes
- Optimum consumption and portfolio rules in a continuous-time model
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- Optimal investment and consumption with transaction costs
- Portfolio choice and pricing in illiquid markets
- Portfolio selection with transactions costs
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Optimal allocation–consumption problem for a portfolio with an illiquid asset
- Optimization problem for a portfolio with an illiquid asset: Lie group analysis
Cited In (9)
- Investing with liquid and illiquid assets
- Optimal asset allocation with fixed-term securities
- Managing liquidity with portfolio staleness
- Optimal allocation–consumption problem for a portfolio with an illiquid asset
- Optimal portfolio of low liquid assets with a log-utility function
- Optimal portfolio on tracking the expected wealth process with liquidity constraints
- Portfolio optimization with private equity funds considering regret aversion
- Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
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