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• Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset

  We study an optimization problem for a portfolio with a risk-free, a li­quid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. We assume that the investor chooses an exponential utility function. Study of op­timization problems with three assets ...

• Industrial enterprises of the Kaliningrad region: R&D models under the conditions of perceived risks

  ... the Firm under Uncertainty: Financing, Attitude to Risk and Output Behavior // Working Papers IES. 2005. No 71. URL: http://dx.doi.org/10.2139/ssrn.981326 (дата обращения: 15.07.2013). 3. DeVuyst E., Garosi J., Wu J. Firm behavior under illiquidity risk // Applied Mathematics Letters. 2011. Vol. 24 (5). P. 709—713. 4. Shankar S. Firm Behaviour Under Uncertainty: A Simple Parametric Model // Australian Journal of Agricultural and Resource Economics. 2013. Vol. 57 (1). P. 141—151. ...