A model of optimal portfolio selection under liquidity risk and price impact
Year of publication: |
2007
|
---|---|
Authors: | Vath, Vathana Ly ; Mnif, Mohamed ; Pham, Huyên |
Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 1, p. 51-90
|
Publisher: |
Springer |
Subject: | Portfolio selection | Liquidity risk | Impulse control | State constraint | Discontinuous viscosity solutions |
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