Illiquidity, position limits, and optimal investment for mutual funds

DOI10.1016/J.JET.2011.03.014zbMATH Open1247.91170OpenAlexW2159161803MaRDI QIDQ634528FDOQ634528

Hanqing Jin, Min Dai, Hong Liu

Publication date: 16 August 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2011.03.014

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zbMATH Keywords

transaction costsilliquidityoptimal investmentportfolio constraintsmutual fundsposition limits

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• User’s guide to viscosity solutions of second order partial differential equations
• Title not available (Why is that?)
• Portfolio Selection with Transaction Costs
• Optimal investment and consumption with transaction costs
• Convex duality in constrained portfolio optimization
• Liquidity and Asset Prices
• Title not available (Why is that?)
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Some mathematical results in the pricing of American options
• On an Investment-Consumption Model with Transaction Costs
• A martingale characterization of consumption choices and hedging costs with margin requirements
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optimal consumption of a divisible durable good

Cited In (9)

• Optimal investment problem for an open-end fund with dynamic flows
• Title not available (Why is that?)
• Pairs trading with illiquidity and position limits
• On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model
• Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds*
• INVESTING WITH LIQUID AND ILLIQUID ASSETS
• Managing inventory with proportional transaction costs
• Relative wealth concerns with partial information and heterogeneous priors
• Optimal investment in an illiquid market with search frictions and transaction costs

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