Optimal long-term investment in illiquid markets when prices have negative memory

Miklós Rásonyi; Lóránt Nagy

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arXiv · 2005.07080

Optimal long-term investment in illiquid markets when prices have negative memory

Miklós Rásonyi·Lóránt Nagy

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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.

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Miklós Rásonyi, Lóránt Nagy. 2020-05-14. Optimal long-term investment in illiquid markets when prices have negative memory. https://arxiv.org/abs/2005.07080

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