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DC Field | Value | Language |
---|---|---|
dc.citation.number | 2 | - |
dc.citation.title | MATHEMATICAL FINANCE | - |
dc.citation.volume | 30 | - |
dc.contributor.author | Choi, Jin Hyuk | - |
dc.date.accessioned | 2023-12-21T17:44:47Z | - |
dc.date.available | 2023-12-21T17:44:47Z | - |
dc.date.created | 2019-08-02 | - |
dc.date.issued | 2020-04 | - |
dc.description.abstract | I consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio that consists of one bond, one liquid risky asset (no transaction costs), and one illiquid risky asset (proportional transaction costs). I fully characterize the optimal consumption and trading strategies in terms of the solution of the free boundary ordinary differential equation (ODE) with an integral constraint. I find an explicit characterization of model parameters for the well-posedness of the problem, and show that the problem is well posed if and only if there exists a shadow price process. Finally, I describe how the investor's optimal strategy is affected by the additional opportunity of trading the liquid risky asset, compared to the simpler model with one bond and one illiquid risky asset. | - |
dc.identifier.bibliographicCitation | MATHEMATICAL FINANCE, v.30, no.2 | - |
dc.identifier.doi | 10.1111/mafi.12221 | - |
dc.identifier.issn | 0960-1627 | - |
dc.identifier.scopusid | 2-s2.0-85069880042 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/27232 | - |
dc.identifier.url | https://onlinelibrary.wiley.com/doi/full/10.1111/mafi.12221 | - |
dc.identifier.wosid | 000476375900001 | - |
dc.language | 영어 | - |
dc.publisher | Blackwell Publishing Inc. | - |
dc.title | Optimal consumption and investment with liquid and illiquid assets | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods | - |
dc.relation.journalResearchArea | Business & Economics; Mathematics; Mathematical Methods In Social Sciences | - |
dc.type.docType | Article; Early Access | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | optimal consumption | - |
dc.subject.keywordAuthor | trading | - |
dc.subject.keywordAuthor | stochastic control | - |
dc.subject.keywordAuthor | singular control | - |
dc.subject.keywordAuthor | transaction costs | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
dc.subject.keywordPlus | ASYMPTOTIC ANALYSIS | - |
dc.subject.keywordPlus | TRANSACTION COSTS | - |
dc.subject.keywordPlus | UTILITY MAXIMIZATION | - |
dc.subject.keywordPlus | SHADOW PRICES | - |
dc.subject.keywordPlus | TIME | - |
dc.subject.keywordPlus | OPTIMIZATION | - |
dc.subject.keywordPlus | DUALITY | - |
dc.subject.keywordPlus | MODEL | - |
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