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• W2014889318 abstract "We investigate optimal consumption policies in the liquidity risk model introduced by Pham and Tankov (Math. Finance 18:613–627, 2008). Our main result is to derive smoothness C 1 results for the value functions of the portfolio/consumption choice problem. As an important consequence, we can prove the existence of the optimal control (portfolio/consumption strategy) which we characterize both in feedback form in terms of the derivatives of the value functions and as the solution of a second-order ODE. Finally, numerical illustrations of the behavior of optimal consumption strategies between two trading dates are given." @default.
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• W2014889318 date "2010-03-05" @default.
• W2014889318 modified "2023-10-16" @default.
• W2014889318 title "Optimal consumption policies in illiquid markets" @default.
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• W2014889318 doi "https://doi.org/10.1007/s00780-010-0123-y" @default.
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