Utility maximization in an illiquid market in continuous time
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DOI: 10.1007/s00186-016-0544-2
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Cited by:
- Peter Bank & Moritz Vo{ss}, 2018. "Optimal investment with transient price impact," Papers 1804.07392, arXiv.org.
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Keywords
Liquidity risk; Price impact; Weak dynamic programming; Hamilton–Jacobi–Bellman equation; Viscosity solution; Comparison theorem;All these keywords.
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