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ArticleOptimal portfolio of low liquid assets with a log-utility function

Koichi Matsumoto2005

Article2005

Optimal portfolio of low liquid assets with a log-utility function

Koichi Matsumoto

37 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1993Dynamic Asset Pricing Theory.1991Continuous-Time Finance.1990Portfolio Selection with Transaction Costs 1985Option Pricing and Replication with Transactions Costs 1986Stochastic Calculus and Applications.1992Option Replication in Discrete Time with Transaction Costs 2001The relaxed investor and parameter uncertainty

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2013Mean–Variance portfolio selection in presence of infrequently traded stocks 2014Investment/Consumption Problem in Illiquid Markets with Regime-Switching 2010Optimal portfolios of a small investor in a limit order market: a shadow price approach

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Year2005

Typearticle

Published2005-12-09

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-005-0172-9

openalex_workW2024801093

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