A model of optimal portfolio selection under liquidity risk and price impact

Finance and Stochastics

Volumn 11, Issue 1, 2007, Pages 51-90

  Vath, Vathana Ly ^a   Mnif, Mohamed ^b   Pham, Huyên ^a,c  

^a CNRS   (France)

^b UNIVERSITY OF CARTHAGE   (Tunisia)

^c CREST   (France)

Author keywords

Discontinuous viscosity solutions; Impulse control; Liquidity risk; Portfolio selection; State constraint

Indexed keywords

EID: 33845923217     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0025-1     Document Type: Article

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