Investment/consumption problem in illiquid markets with regimes switching
 Publisher: HAL CCSD

Subject: [ MATH.MATHPR ] Mathematics [math]/Probability [math.PR]  [ QFIN.PM ] Quantitative Finance [qfin]/Portfolio Management [qfin.PM]  [MATH.MATHPR]Mathematics [math]/Probability [math.PR]  [QFIN.PM]Quantitative Finance [qfin]/Portfolio Management [qfin.PM]

References
(11)
11 references, page 1 of 2
 1
 2
[1] Arisawa M. (2008): “A remark on the definitions of viscosity solutions for the integrodifferential equations with L´evy operators”, Journal de Math´ematiques Pures et Appliqu´ees, 89, 6, 567574.
[2] Crandall M., Ishii H. and P.L. Lions (1992) : “User's Guide to Viscosity Solutions of Second Order Partial Differential Equations”, Bull. Amer. Math. Soc., 27, 167.
[3] Cretarola A., Gozzi F., Pham H. and P. Tankov (2011): “Optimal consumption policies in illiquid markets”, Finance and Stochastics, 15, 85115.
[11] Ladyzhenskaya O., and N. Uralseva (1968): Linear and quasilinear elliptic equations, Academic press, New York.
[12] Ludkovski M. and H. Min (2010): “Illiquidity effects in optimal consumptioninvestment problems”, Preprint available on arXiv: 1004.1489
[13] Matsumoto K. (2006): “Optimal portfolio of low liquid assets with a logutility function”, Finance and Stochastics, 10, 121145.
[14] Merton R. (1971): “Optimum consumption and portfolio rules in a continuoustime model”, Journal of Economic Theory, 3, 373413.
[15] Pham H. and P. Tankov (2008): “A model of optimal consumption under liquidity risk with random trading times”, Mathematical Finance, 18, 613627.
[16] Protter, P. (2004): “Stochastic Integration and Differential Equations”, SpringerVerlag.
[17] Rogers C. and O. Zane (2002) : “A simple model of liquidity effects”, in Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, eds. K. Sandmann and P. Schoenbucher, pp 161176.

Similar Research Results
(20)
20 research results, page 1 of 2
 1
 2

Metrics
No metrics available

 Download from





Cite this publication