Optimal Portfolio of Low Liquid Assets with a Power Utility Function

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概要

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• When an asset is completely liquid, an investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and his strategy is restricted. He has to consider the risk of the failure of the trade. In this paper a risky asset is traded at the random times and an investor has a power utility function. In this situation we solve an optimal portfolio problem. We propose an asymptotic expansion of the optimal strategy. Further we discuss convergence of the value function when the asset becomes liquid.

• 東京大学の論文

著者

• Matsumoto Koichi

  R&d Promotion Department Mizuho-dl Financial Technology Co. Ltd.

• Matsumoto Koichi

  R&D Promotion Department, Mizuho-DL Financial Technology Co., Ltd.

関連論文

• Optimal Portfolio of Low Liquid Assets with a Power Utility Function

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