Hedge-fund management with liquidity constraint

We propose a model for a manager of a hedge fund with a liquidity constraint, where he is seeking to optimize his utility of wealth, with one and multiple period horizons. By using stochastic control techniques, we state the corresponding multi-dimensional Hamilton-Jacobi-Bellman partial differentia...

Full description

Autores:

Tipo de recurso:

Fecha de publicación:

2019

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/22155

Acceso en línea:

https://doi.org/10.1142/S0219024919500262
https://repository.urosario.edu.co/handle/10336/22155

Palabra clave:

Finite differences
Hedge-fund management
Liquidity
Semi-lagrangian
Stochastic control

Rights

License

Abierto (Texto Completo)