dc.citation.conferencePlace |
US |
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dc.citation.conferencePlace |
Online |
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dc.citation.title |
SIAM Conference on Financial Mathematics and Engineering |
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dc.contributor.author |
Choi, Jin Hyuk |
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dc.contributor.author |
Gang, Tae Ung |
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dc.date.accessioned |
2024-01-31T21:41:05Z |
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dc.date.available |
2024-01-31T21:41:05Z |
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dc.date.created |
2022-01-17 |
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dc.date.issued |
2021-06-01 |
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dc.description.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. |
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dc.identifier.bibliographicCitation |
SIAM Conference on Financial Mathematics and Engineering |
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dc.identifier.uri |
https://scholarworks.unist.ac.kr/handle/201301/77329 |
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dc.identifier.url |
https://arxiv.org/abs/2101.09936 |
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dc.language |
영어 |
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dc.publisher |
SIAM |
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dc.title |
Optimal Investment in Illiquid Market with Search Frictions and Transaction Costs |
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dc.type |
Conference Paper |
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dc.date.conferenceDate |
2021-06-01 |
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