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random trading times
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Investment/consumption choice in illiquid markets with random trading times
Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics
◽
10.1515/9783110213140.411
◽
2009
◽
Keyword(s):
Illiquid Markets
◽
Random Trading Times
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A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
Mathematical Finance
◽
10.1111/j.1467-9965.2008.00350.x
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2008
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Vol 18
(4)
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pp. 613-627
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Cited By ~ 23
Author(s):
Huyên Pham
◽
Peter Tankov
Keyword(s):
Liquidity Risk
◽
Optimal Consumption
◽
Random Trading Times
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