File Download

There are no files associated with this item.

  • Find it @ UNIST can give you direct access to the published full text of this article. (UNISTARs only)
Related Researcher

최진혁

Choi, Jin Hyuk
Mathematical Finance Lab.
Read More

Views & Downloads

Detailed Information

Cited time in webofscience Cited time in scopus
Metadata Downloads

Optimal Investment in Illiquid Market with Search Frictions and Transaction Costs

Author(s)
Choi, Jin HyukGang, Tae Ung
Issued Date
2021-06-01
URI
https://scholarworks.unist.ac.kr/handle/201301/77329
Fulltext
https://arxiv.org/abs/2101.09936
Citation
SIAM Conference on Financial Mathematics and Engineering
Abstract
We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid 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 when the transaction is successful. We characterize the no-trade region describing the optimal trading strategy. We provide asymptotic expansions of the boundaries of the no-trade region and the value function, for small transaction costs. The asymptotic analysis implies that the effects of the transaction costs are more pronounced.
Publisher
SIAM

qrcode

Items in Repository are protected by copyright, with all rights reserved, unless otherwise indicated.