Utility Maximization in a Multidimensional Market with Small Nonlinear Price Impact


We study a portfolio choice problem in a multi-dimensional market with frictions. An investor with constant relative risk aversion invests in a market composed of a riskless asset and a multi-dimensional risky asset. Trading... [ view full abstract ]


  1. Thomas CayƩ (Dublin City University)
  2. Ibrahim Ekren (University of Michigan)
  3. Erhan Bayraktar (University of Michigan)

Topic Areas

Market Frictions , Optimal Control , Price Impact


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

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