32 citations · 67 across the 24 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
q-fin.PM2012
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…
q-fin.PM2012★ 1 cited
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…