Optimal portfolio of the low liquid asset with the log - utility function
نویسنده
چکیده
When the asset is not completely liquid, we cannot trade the asset continuously. To represent this we assume that the risky asset can be traded at the random times that are exponentially distributed. We solve the optimal portfolio problem of this asset. And the asymptotic character of the optimal strategy is discussed. Further we show the convergence of the value function when the liquidity becomes increasing.
منابع مشابه
Optimal portfolio of low liquid assets with a log-utility function
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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