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

Full metadata record

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

qrcode

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