Illiquidity, position limits, and optimal investment for mutual funds

DOI10.1016/J.JET.2011.03.014MaRDI QIDQ634528zbMATHOpenAlexFDO

Authors Min Dai, Hanqing Jin, 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

zbMATH Keywords

transaction costsilliquidityoptimal investmentportfolio constraintsmutual fundsposition limits

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A martingale characterization of consumption choices and hedging costs with margin requirements
• Convex duality in constrained portfolio optimization
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Guaranteed minimum withdrawal benefit in variable annuities
• Liquidity and Asset Prices
• On an Investment-Consumption Model with Transaction Costs
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optimal consumption of a divisible durable good
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Some mathematical results in the pricing of American options
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(9)

• Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds*
• scientific article; zbMATH DE number 5116809 (Why is no real title available?)
• On balanced growth path solutions of a knowledge diffusion and growth model
• Optimal investment problem for an open-end fund with dynamic flows
• Pairs trading with illiquidity and position limits
• 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
• Investing with liquid and illiquid assets

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