Financial illiquidity, Lévy processes and HJB equations

Seminar series

Partial Differential Equations Seminar

Date

Mon, 16 Jan 2023
16:30

Location

Speaker

Stefano Marchesani

Organisation

Rome La Sapienza

I will present a model for an optimal portfolio allocation and consumption problem for a portfolio composed of a risk-free bond and two illiquid assets. Two forms of illiquidity are presented, both illiquidities based on Lévy processes. The goal of the investor is to maximise a certain utility function, and the optimal utility is found as a solution of a nonlinear PIDE of the Hamilton-Jacobi-Bellman kind.