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Autor:
Gang, Tae Ung, Choi, Jin Hyuk
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arXiv:2101.09936, we analyze a power-utility maximization problem where a
Externí odkaz:
http://arxiv.org/abs/2407.13547
Autor:
Choi, Jin Hyuk, Gang, Tae Ung
We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only at arrival
Externí odkaz:
http://arxiv.org/abs/2101.09936
Autor:
Gang, Tae Ung1 (AUTHOR), Choi, Jin Hyuk2 (AUTHOR) jchoi@unist.ac.kr
Publikováno v:
Applied Mathematics & Optimization. Aug2023, Vol. 88 Issue 1, p1-49. 49p.
