Portfolio optimization in the case of an asset with a given liquidation time distribution

Article, Preprint English OPEN
Bordag , L. A.; Yamshchikov , I. P.; Zhelezov , D.;
(2015)
  • Publisher: ORB Academic Publisher
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Quantitative Finance - Portfolio Management | 91G10, 49L25, 49L20, 35Q93, 91G80 | portfolio optimization | viscosity solutions | random income | portfolio optimization,illiquidity,viscosity solutions,random income | illiquidity

Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a... View more
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