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...
| Autores Principales: | , , , |
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
World Scientific Publishing Co. Pte Ltd
2019
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| Materias: | |
| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/22155 https://doi.org/10.1142/S0219024919500262 |