A model of optimal portfolio selection under liquidity risk and price impact
نویسندگان
چکیده
منابع مشابه
A model of optimal portfolio selection under liquidity risk and price impact
We study a financial model with one risk-free and one risky asset subject to liquidity risk and price impact. In this market, an investor may transfer funds between the two assets at any discrete time. Each purchase or sale policy decision affects the price of the risky asset and incurs some fixed transaction cost. The objective is to maximize the expected utility from terminal liquidation valu...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2006
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-006-0025-1