Received: 1 May 2018   Accepted: 1 August 2019
DOI: 10.1111/mafi.12234

ORIGINAL ARTICLE


Nonlinear price impact and portfolio choice
Paolo Guasoni1,2          Marko Hans Weber3
1 Departmentof Mathematics and Statistics,
                           Abstract
Boston University, Boston, Massachusetts
2 Schoolof Mathematical Sciences, Dublin
                           In a market with price impact proportional to a power of
City University, Dublin, Ireland           the order flow, we find optimal t ...