[02034] Relation between transaction costs and search frictions in optimal maximization
Session Time & Room : 3C (Aug.23, 13:20-15:00) @E505
Type : Contributed Talk
Abstract : We consider an optimal investment problem to maximize expected power-utility of random terminal wealth in a market with two types of illiquidity: transaction costs and search frictions. We suppose an investor trades only at arrival times of Poisson process, and pays proportional transaction costs for purchasing or selling stocks. We characterize a unique optimal trading strategy and provide asymptotic expansions on small transaction costs and small search frictions for boundaries of no-trade region and value function.
