The optimal investment problem with inflation and liquidity risk
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Publication:6079953
DOI10.1016/J.CAM.2023.115580zbMATH Open1527.91147OpenAlexW4386914094MaRDI QIDQ6079953FDOQ6079953
Authors: Xinyue Chen, Pei-Min Chen, Yong He, Xiaoyang Wang 
Publication date: 30 October 2023
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2023.115580
Cites Work
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- A model of optimal consumption under liquidity risk with random trading times
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
- The effect of inflation risk and subsistence constraints on portfolio choice
- Optimal trade execution in order books with stochastic liquidity
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
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