2 papers
q-fin.PM2025
On the utility problem in a market where price impact is transient
Lóránt Nagy, Miklós Rásonyi
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding…
math.PR2020
Optimal long-term investment in illiquid markets when prices have negative memory
Miklós Rásonyi, Lóránt Nagy
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 pric…