A model of optimal portfolio selection under liquidity risk and price impact
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DOI: 10.1007/s00780-006-0025-1
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More about this item
Keywords
Portfolio selection; Liquidity risk; Impulse control; State constraint; Discontinuous viscosity solutions; 93E20; 91B28; 60H30; 49L25; G11;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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