컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0217 |
|---|---|
| 분류(Section) | Invited Lecture |
| 분과(Session) | (AM) Applied Mathematics(including AI, Data Science) (AM) |
| 발표시간(Time) | 19th-O-14:40 -- 15:20 |
| 영문제목 (Title(Eng.)) |
Portfolio optimization in illiquid markets |
| 저자(Author(s)) |
Jin Hyuk Choi1, Tae Ung Gang2 UNIST1, KAIST2 |
| 초록본문(Abstract) | We consider an optimal investment problem to maximize expected utility (CRRA) of the terminal wealth, in a market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only at arrival times of a Poisson process, and the investor pays proportional transaction costs. The optimal trading strategy is described by the no-trade region. We provide asymptotic analysis of the value function and the no-trade boundaries, for small search frictions and transaction costs at the same time. |
| 분류기호 (MSC number(s)) |
91G10 |
| 키워드(Keyword(s)) | Stochastic control, optimal investment, transaction costs, search frictions, asymptotic analysis |
| 강연 형태 (Language of Session (Talk)) |
Korean |