A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
- Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk, 2006. "Variance-optimal hedging for processes with stationary independent increments," Papers math/0607112, arXiv.org.
- Filipovic, Damir, 2005. "Time-inhomogeneous affine processes," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 639-659, April.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 2000.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions,"
Econometric Society, vol. 68(6), pages 1343-1376, November.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
- Heston, Steven L, 1993.
"A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,"
Review of Financial Studies,
Society for Financial Studies, pages 327-343.
- Kose John & Anthony Saunders & Lemma W. Senbet, 1996. "A Theory of Bank Regulation and Management Compensation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-30, New York University, Leonard N. Stern School of Business-.
- Kose John & Anthony Saunders & Lemma W. Senbet, 1998. "A Theory of Bank Regulation and Management Compensation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-043, New York University, Leonard N. Stern School of Business-.
- Brigo, Damiano & Hanzon, Bernard, 1998. "On some filtering problems arising in mathematical finance," Insurance: Mathematics and Economics, Elsevier, pages 53-64.
- Ales Černý & Jan Kallsen, 2008. "A Counterexample Concerning The Variance-Optimal Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 305-316.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giorgia Callegaro & Giovanni Masi & Wolfgang Runggaldier, 2006. "Portfolio Optimization in Discontinuous Markets under Incomplete Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, pages 373-394.
- Paul Gassiat & Fausto Gozzi & Huy^en Pham, 2011.
"Investment/consumption problem in illiquid markets with regime-switching,"
1107.4210, arXiv.org, revised Apr 2012.
- Paul Gassiat & Fausto Gozzi & Huyen Pham, 2011. "Investment/consumption problem in illiquid markets with regimes switching," Working Papers hal-00610214, HAL.
- Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2011. "Optimal consumption policies in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 85-115, January.
- Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2012. "Impact of time illiquidity in a mixed market without full observation," Papers 1211.1285, arXiv.org, revised Mar 2015.
- Paul Gassiat & Huyen Pham & Mihai Sirbu, 2009. "Optimal investment on finite horizon with random discrete order flow in illiquid markets," Papers 0907.2203, arXiv.org.
- T. R. Hurd & Quentin H. Shao & Tuan Tran, 2016. "Optimal Portfolios of Illiquid Assets," Papers 1610.00395, arXiv.org.
- Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
- Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
- Soren Christensen & Marc Wittlinger, 2012. "Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs," Papers 1209.0305, arXiv.org, revised Jun 2013.
- Kazufumi Fujimoto & Hideo Nagai & Wolfgang Runggaldier, 2014. "Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, pages 35-66.
- Edoli, Enrico & Runggaldier, Wolfgang J., 2010. "On optimal investment in a reinsurance context with a point process market model," Insurance: Mathematics and Economics, Elsevier, pages 315-326.
- Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:18:y:2008:i:4:p:613-627. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.