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.
Funding Statement
Supported by the “Lendület” grant LP 2015-6 of the Hungarian Academy of Sciences.
Citation
Lóránt Nagy. Miklós Rásonyi. "Optimal long-term investment in illiquid markets when prices have negative memory." Electron. Commun. Probab. 26 1 - 12, 2021. https://doi.org/10.1214/21-ECP387
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