Optimal Portfolio of Low Liquid Assets with a Power Utility Function
[摘要] Whenanassetiscompletelyliquid,aninvestorcanrealizehisdesirablestrategy.Butwhentheassetisnotsufficientlyliquid,theinvestorcannottradetheassetcontinuouslyandhisstrategyisrestricted.Hehastoconsidertheriskofthefailureofthetrade.Inthispaperariskyassetistradedattherandomtimesandaninvestorhasapowerutilityfunction.Inthissituationwesolveanoptimalportfolioproblem.Weproposeanasymptoticexpansionoftheoptimalstrategy.Furtherwediscussconvergenceofthevaluefunctionwhentheassetbecomesliquid.
[发布日期] [发布机构]
[效力级别] [学科分类] 数学（综合）
[关键词] Portfolio optimization;liquidity;power utility function [时效性]
