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相对于普通投资者,大规模持有某种资产的机构投资者在交易这种资产时,其行为会导致资产价格的单向变动,从而产生流动性风险。针对机构投资者在连续时间框架且股票价格服从几何布朗运动的情况,提出在随机冲击下其完全变现行为的最优变现策略,利用最优控制理论中的极小值原理研究其最优变现策略。敏感性分析表明,最优变现策略由市场价格波动率、资产的流动性和机构投资者的风险厌恶偏好共同决定。以深发展股票为例,验证了机构投资者在随机冲击下可根据上述结论选择合适的最优变现策略,降低其在市场中所面临的流动性风险,使得股票的账面价值更可能多的转换为实际收益。
Compared with ordinary investors, institutional investors with large-scale holdings of certain kinds of assets, when trading in such assets, may cause one-way changes in asset prices and thus liquidity risks. For institutional investors in continuous time frame and the stock price obeys the geometric Brownian motion, this paper proposes an optimal realization strategy of its fully realized behavior under the random impact, and studies its optimal realization strategy using the minimum principle in the optimal control theory . Sensitivity analysis shows that the optimal realization strategy is determined by the market price volatility, the liquidity of assets and the risk aversion preference of institutional investors. Taking SDD as an example, this paper verifies that under random shocks, institutional investors can choose the optimal optimal strategy according to the above conclusions and reduce the liquidity risk they face in the market, making the book value of the stock more likely to be converted into Actual benefits.