Optimal long-term investment in illiquid markets when prices have negative memory

被引：1
|
作者：
Nagy, Lorant [1 ,2 ]
Rasonyi, Miklos [2 ]
机构：
[1] Cent European Univ, Budapest, Hungary
[2] Renyi Inst, Budapest, Hungary
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2021年 / 26卷
关键词：
processes with negative memory; price impact; optimal investment; fractional Brownian motion;
D O I：
10.1214/21-ECP387
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset price is assumed to follow a process with negative memory. We determine how the optimal growth rate depends on the impact parameter and on the covariance decay rate of the price.
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页数：12
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