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Optimal consumption and investment with liquid and illiquid assets - Choi - 2020 - Mathematical Finance - Wiley Online Library
Source: onlinelibrary.wiley.com
Article summary:
1. The article examines an optimal consumption/investment problem to maximize expected utility from consumption, with a portfolio consisting of one bond, one liquid risky asset (no transaction costs), and one illiquid risky asset (proportional transaction costs).
2. The paper provides an explicit characterization of model parameters for the well-posedness of the problem, and shows how the investor's optimal strategy is affected by the additional opportunity of trading the liquid risky asset.
3. The article also discusses previous research on dynamic optimal consumption/investment problems, including models with proportional transaction costs and multiple assets.
Article analysis:
The article is written in a clear and concise manner, making it easy to understand for readers who are familiar with the topic. The author has provided a comprehensive overview of previous research on dynamic optimal consumption/investment problems, which helps to contextualize their own work. Furthermore, they have provided an explicit characterization of model parameters for the well-posedness of the problem, as well as a detailed analysis of how the investor's optimal strategy is affected by the additional opportunity of trading the liquid risky asset.
The article does not appear to be biased or partial in any way; it presents both sides equally and does not make unsupported claims or omit counterarguments. It also does not contain any promotional content or missing points of consideration that could lead to potential risks being overlooked. Therefore, overall this article can be considered reliable and trustworthy.