32 citations · 67 across the 24 of their papers we have counts for
5 papers · 1 filter
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., i…
Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets
Salvatore Federico, Paul Gassiat
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be trad…
Impact of time illiquidity in a mixed market without full observation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asse…
Investment/consumption problem in illiquid markets with regime-switching
Paul Gassiat, Fausto Gozzi, Huyên Pham
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival…
Optimal investment on finite horizon with random discrete order flow in illiquid markets
Paul Gassiat, Huyen Pham, Mihai Sirbu
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs…