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摘要翻译：
研究了具有离散订单流的非流动性市场中的最优投资组合选择问题。在这个市场中，出价和报价不是在任何时候都可以得到的，但交易在接近终端地平线的时候发生得更频繁。投资者只能在与非齐次泊松过程给出的订单流相对应的外生随机时间观察和交易风险资产。利用直接动态规划方法，首先推导并求解值函数所满足的不动点动态规划方程，然后进行验证论证，给出最优交易策略的存在性和刻画。证明了在无卖空约束的完全流动性市场模型中，当指令流的确定性强度在任意时刻接近无穷大时，投资者连续交易的最优性能收敛于最优期望效用。
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英文标题：
《Optimal investment on finite horizon with random discrete order flow in
illiquid markets》
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作者：
Paul Gassiat (PMA), Huyen Pham (PMA, CREST), Mihai Sirbu
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can observe and trade the risky asset only at exogenous random times corresponding to the order flow given by an inhomogenous Poisson process. By using a direct dynamic programming approach, we first derive and solve the fixed point dynamic programming equation satisfied by the value function, and then perform a verification argument which provides the existence and characterization of optimal trading strategies. We prove the convergence of the optimal performance, when the deterministic intensity of the order flow approaches infinity at any time, to the optimal expected utility for an investor trading continuously in a perfectly liquid market model with no-short sale constraints.
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PDF链接：
https://arxiv.org/pdf/0907.2203
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