Optimal consumption policies in illiquid markets

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dc.creatorCretarola, Alessandra
dc.creatorGozzi, Fausto
dc.creatorPham, Huyên
dc.creatorTankov, Peter
dc.date2008-07-02
dc.date.accessioned2026-07-07T09:48:03Z
dc.date.available2026-07-07T09:48:03Z
dc.descriptionWe investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness 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.
dc.identifierhttps://arxiv.org/abs/0807.0326
dc.identifierhttp://arxiv.org/abs/0807.0326
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/164068
dc.subjectProbability
dc.subject49K22, 49L25, 35F20, 91B28
dc.titleOptimal consumption policies in illiquid markets
dc.typetext

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