FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2912669042> ?p ?o ?g. }

• W2912669042 endingPage "663" @default.
• W2912669042 startingPage "621" @default.
• W2912669042 abstract "Abstract I consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio that consists of one bond, one liquid risky asset (no transaction costs), and one illiquid risky asset (proportional transaction costs). I fully characterize the optimal consumption and trading strategies in terms of the solution of the free boundary ordinary differential equation (ODE) with an integral constraint. I find an explicit characterization of model parameters for the well‐posedness of the problem, and show that the problem is well posed if and only if there exists a shadow price process. Finally, I describe how the investor's optimal strategy is affected by the additional opportunity of trading the liquid risky asset, compared to the simpler model with one bond and one illiquid risky asset." @default.
• W2912669042 created "2019-02-21" @default.
• W2912669042 creator A5010818512 @default.
• W2912669042 date "2019-07-15" @default.
• W2912669042 modified "2023-09-27" @default.
• W2912669042 title "Optimal consumption and investment with liquid and illiquid assets" @default.
• W2912669042 cites W1911156902 @default.
• W2912669042 cites W1914758076 @default.
• W2912669042 cites W1976352744 @default.
• W2912669042 cites W1976551585 @default.
• W2912669042 cites W1979627408 @default.
• W2912669042 cites W1984697146 @default.
• W2912669042 cites W1989764953 @default.
• W2912669042 cites W2005158847 @default.
• W2912669042 cites W2013593977 @default.
• W2912669042 cites W2022958749 @default.
• W2912669042 cites W2025025900 @default.
• W2912669042 cites W2041823389 @default.
• W2912669042 cites W2042506154 @default.
• W2912669042 cites W2090034720 @default.
• W2912669042 cites W2090220594 @default.
• W2912669042 cites W2099438388 @default.
• W2912669042 cites W2107436350 @default.
• W2912669042 cites W2115185486 @default.
• W2912669042 cites W2115580984 @default.
• W2912669042 cites W2159161803 @default.
• W2912669042 cites W3098099048 @default.
• W2912669042 cites W3100851307 @default.
• W2912669042 cites W3121983332 @default.
• W2912669042 cites W3122032607 @default.
• W2912669042 cites W3122267193 @default.
• W2912669042 cites W3125712704 @default.
• W2912669042 cites W3125891678 @default.
• W2912669042 doi "https://doi.org/10.1111/mafi.12221" @default.
• W2912669042 hasPublicationYear "2019" @default.
• W2912669042 type Work @default.
• W2912669042 sameAs 2912669042 @default.
• W2912669042 citedByCount "3" @default.
• W2912669042 countsByYear W29126690422021 @default.
• W2912669042 countsByYear W29126690422022 @default.
• W2912669042 countsByYear W29126690422023 @default.
• W2912669042 crossrefType "journal-article" @default.
• W2912669042 hasAuthorship W2912669042A5010818512 @default.
• W2912669042 hasBestOaLocation W29126690422 @default.
• W2912669042 hasConcept C10138342 @default.
• W2912669042 hasConcept C106159729 @default.
• W2912669042 hasConcept C126255220 @default.
• W2912669042 hasConcept C139748260 @default.
• W2912669042 hasConcept C144024400 @default.
• W2912669042 hasConcept C144237770 @default.
• W2912669042 hasConcept C149782125 @default.
• W2912669042 hasConcept C162324750 @default.
• W2912669042 hasConcept C175444787 @default.
• W2912669042 hasConcept C17744445 @default.
• W2912669042 hasConcept C199539241 @default.
• W2912669042 hasConcept C205706631 @default.
• W2912669042 hasConcept C2524010 @default.
• W2912669042 hasConcept C27548731 @default.
• W2912669042 hasConcept C2776036281 @default.
• W2912669042 hasConcept C2780821815 @default.
• W2912669042 hasConcept C30772137 @default.
• W2912669042 hasConcept C33923547 @default.
• W2912669042 hasConcept C36289849 @default.
• W2912669042 hasConcept C38652104 @default.
• W2912669042 hasConcept C41008148 @default.
• W2912669042 hasConcept C69738904 @default.
• W2912669042 hasConcept C76178495 @default.
• W2912669042 hasConcept C94625758 @default.
• W2912669042 hasConcept C98965940 @default.
• W2912669042 hasConceptScore W2912669042C10138342 @default.
• W2912669042 hasConceptScore W2912669042C106159729 @default.
• W2912669042 hasConceptScore W2912669042C126255220 @default.
• W2912669042 hasConceptScore W2912669042C139748260 @default.
• W2912669042 hasConceptScore W2912669042C144024400 @default.
• W2912669042 hasConceptScore W2912669042C144237770 @default.
• W2912669042 hasConceptScore W2912669042C149782125 @default.
• W2912669042 hasConceptScore W2912669042C162324750 @default.
• W2912669042 hasConceptScore W2912669042C175444787 @default.
• W2912669042 hasConceptScore W2912669042C17744445 @default.
• W2912669042 hasConceptScore W2912669042C199539241 @default.
• W2912669042 hasConceptScore W2912669042C205706631 @default.
• W2912669042 hasConceptScore W2912669042C2524010 @default.
• W2912669042 hasConceptScore W2912669042C27548731 @default.
• W2912669042 hasConceptScore W2912669042C2776036281 @default.
• W2912669042 hasConceptScore W2912669042C2780821815 @default.
• W2912669042 hasConceptScore W2912669042C30772137 @default.
• W2912669042 hasConceptScore W2912669042C33923547 @default.
• W2912669042 hasConceptScore W2912669042C36289849 @default.
• W2912669042 hasConceptScore W2912669042C38652104 @default.
• W2912669042 hasConceptScore W2912669042C41008148 @default.
• W2912669042 hasConceptScore W2912669042C69738904 @default.
• W2912669042 hasConceptScore W2912669042C76178495 @default.
• W2912669042 hasConceptScore W2912669042C94625758 @default.
• W2912669042 hasConceptScore W2912669042C98965940 @default.
• W2912669042 hasFunder F4320321348 @default.
• W2912669042 hasFunder F4320322120 @default.
• W2912669042 hasIssue "2" @default.
• W2912669042 hasLocation W29126690421 @default.

• next