{
  "id": "2005.07080",
  "version": "v1",
  "published": "2020-05-14T15:50:11.000Z",
  "updated": "2020-05-14T15:50:11.000Z",
  "title": "Optimal long-term investment in illiquid markets when prices have negative memory",
  "authors": [
    "Miklós Rásonyi",
    "Lóránt Nagy"
  ],
  "comment": "11 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-05-14T15:50:11.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "91G10",
      "91G80"
    ],
    "keywords": [
      "optimal long-term investment",
      "negative memory",
      "illiquid markets",
      "discrete-time financial market model",
      "covariance decay rate"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 11,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}