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 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613453