论文标题
当价格具有负面记忆时，在流动性市场上的最佳长期投资
Optimal long-term investment in illiquid markets when prices have negative memory
论文作者
论文摘要
在具有瞬时价格影响的离散时间金融市场模型中，我们发现了一种最大程度地提高她预期财富的投资者的最佳最佳策略。假定资产价格遵循具有负记忆的过程。我们确定最佳增长率如何取决于影响参数以及价格的协方差衰减率。
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.
