Optimal long-term investment in illiquid markets when prices have negative memory

Miklós Rásonyi, Lóránt Nagy

Published 2020-05-14Version 1

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.