CEU Electronic Theses and Dissertations, 2020
| Author | Nagy, Lorant |
|---|---|
| Title | Optimal long-term investment in illiquid markets when prices have negative memory |
| Summary | 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. |
| Supervisor | Rasonyi, Miklos |
| Department | Mathematics Ps |
| Full text | https://www.etd.ceu.edu/2020/nagy_lorant.pdf |
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