Utility maximization in an illiquid market in continuous time
H. Mete Soner, Mirjana Vukelja
| Year of publication: |
October 2016
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|---|---|
| Authors: | Soner, Halil Mete ; Vukelja, Mirjana |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 84.2016, 2, p. 285-321
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| Subject: | Liquidity risk | Price impact | Weak dynamic programming | Hamilton-Jacobi-Bellman equation | Viscosity solution | Comparison theorem | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Marktliquidität | Market liquidity | Dynamische Optimierung | Dynamic programming | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | CAPM | Liquidität | Liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-016-0544-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673528