Optimal portfolio of low liquid assets with a log-utility function
In the real market an asset is not completely liquid. An investor should plan a strategy on the grounds that an asset cannot always be traded. In this paper we consider the classical Merton wealth problem, but the risky asset is not completely liquid. The liquidity is represented by the success rate of the trade and the investor can trade the asset at distributed exponentially random times. We find the value function and exhibit a procedure for an asymptotic expansion of the optimal strategy. Further we reveal some characteristics of the optimal strategy by a numerical analysis. Copyright Springer-Verlag Berlin/Heidelberg 2006
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 10 (2006)
Issue (Month): 1 (01)
|Contact details of provider:|| Web page: http://www.springerlink.com/content/101164/ |
|Order Information:||Web: http://link.springer.de/orders.htm|
When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:10:y:2006:i:1:p:121-145. 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: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.