Optimal portfolio of the low liquid asset with the power utility function
نویسندگان
چکیده
When the asset is completely liquid, the investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and the strategy is restricted. He has to consider the risk of the failure of the trade. In this paper the risky asset is traded at the random times and the investor has the power utility function. In this situation we solve the optimal portfolio problem. We propose the asymptotic expansion of the optimal strategy. Further we discuss the convergence of the value function when the asset becomes liquid.
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When an asset is completely liquid, an investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and his strategy is restricted. He has to consider the risk of the failure of the trade. In this paper a risky asset is traded at the random times and an investor has a power utility function. In this situation we sol...
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