Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
研究了同时存在交易成本和搜索摩擦两种流动性不足的市场中，投资者的最优投资问题，推导出无交易区域和价值函数的显式渐近解，统一了仅考虑单一摩擦的模型结果。
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities. We show that the optimal trading strategy is described by a no‐trade region. We introduce a novel asymptotic framework applicable when both transaction costs and search frictions are small. Using this framework, we derive explicit asymptotics for the no‐trade region and the value function along a specific parametric curve. This approach unifies existing asymptotic results for models dealing exclusively with either transaction costs or search frictions.