英文标题：
《Optimal consumption and investment with liquid and illiquid assets》
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作者：
Jin Hyuk Choi
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最新提交年份：
2019
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英文摘要：
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction costs) and one illiquid risky asset (proportional transaction costs). We fully characterize the optimal consumption and trading strategies in terms of the solution of the free boundary ODE with an integral constraint. We find an explicit characterization of model parameters for the well-posedness of the problem, and show that the problem is well-posed if and only if there exists a shadow price process. Finally, we describe how the investor\'s optimal strategy is affected by the additional opportunity of trading the liquid risky asset, compared to the simpler model with one bond and one illiquid risky asset.
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中文摘要：
我们考虑一个最优消费/投资问题，以最大化消费的预期效用。在这种市场模型中，投资者可以选择由一种债券、一种流动性风险资产（无交易成本）和一种非流动性风险资产（按比例交易成本）组成的投资组合。我们充分刻画了最优消费和交易策略的解，即带积分约束的自由边界常微分方程的解。我们找到了问题适定性的模型参数的一个显式刻画，并证明了问题适定性的充要条件是存在影子价格过程。最后，我们描述了与一种债券和一种非流动性风险资产的简单模型相比，投资者的最优策略如何受到流动性风险资产交易的额外机会的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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