Illiquidity, position limits, and optimal investment for mutual funds
نویسندگان
چکیده
منابع مشابه
Illiquidity, position limits, and optimal investment for mutual funds
We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the optimal trading boundaries are increasing in both the lower and the upper position limits. We find that ...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2011
ISSN: 0022-0531
DOI: 10.1016/j.jet.2011.03.014