We study a financial model with one risk-free and one risky asset subject to liquidity risk and
price impact. In this market, an investor may transfer funds between the two assets at any
discrete time. Each purchase or sale policy decision affects the rice of the risky asset and
incurs some fixed transaction cost. The objective is to maximize the expected utility from
terminal liquidation value over a finite horizon and subject to a solvency constraint. This is
formulated as an impulse control problem under state constraints and we characterize the …

We study a financial model with one risk-free and one risky asset subject to liquidity risk and
price impact. In this market, an investor may transfer funds between the two assets at any
discrete time. Each purchase or sale policy decision affects the price of the risky asset and
incurs some fixed transaction cost. The objective is to maximize the expected utility from
terminal liquidation value over a finite horizon and subject to a solvency constraint. This is
formulated as an impulse control problem under state constraint and we characterize the …