Optimal long-term investment in illiquid markets when prices have negative memory
Probability
2021-04-27 v3
Abstract
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.
Keywords
Cite
@article{arxiv.2005.07080,
title = {Optimal long-term investment in illiquid markets when prices have negative memory},
author = {Miklós Rásonyi and Lóránt Nagy},
journal= {arXiv preprint arXiv:2005.07080},
year = {2021}
}
Comments
12 pages