Optimal investment in an illiquid financial market


We introduce a price impact model which accounts for finite market depth, tightness and resilience whose coupled bid- and ask-price dynamics induce convex costs. We provide existence of an optimal solution to the classical... [ view full abstract ]


  1. Moritz Voss (University of California, Santa Barbara)
  2. Peter Bank (TU Berlin)

Topic Areas

Optimal Control , Optimal Investment , Price Impact


MO-P-DA » Price Impact and Portfolio Choice (14:30 - Monday, 16th July, Davis)

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