We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage...

This study focuses on the background and relationship of asset pricing, optimal portfolios and efficient portfolio frontiers. This has been discussed in light of multiple crisis; right from the Asian Crisis of 1997, dotcom of 2001 till the financial crisis of 2008. This study tracks the changes...