Registered Data

[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.
  • Classification : 62P05, 49N90, Financial mathematics, Stochastic analysis
  • Format : Talk at Waseda University
  • Author(s) :
    • Tae Ung Gang (KAIST Stochastic Analysis and Application Research Center)
    • Jin Hyuk Choi (UNIST)