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Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/4/28
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...