证券组合内生流动性风险控制策略  

Control Strategy of Portfolio's Endogenous Liquidity Risk

作　　者：张丽芳[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《系统管理学报》2007年第4期370-375,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：股票市场中板块与板块之间、同一板块的不同股票之间存在联动效应和比价效应。因此,证券组合交易中,某股票交易不仅对自身价格有影响,而且对组合中其他股票价格也会产生影响,证券组合投资者面临的内生流动性风险要复杂得多。以Chriss的资产变现模型为基础,建立了组合内生流动性风险控制模型,并用一阶条件求解。算例分析表明,股票间的联动效应和比价效应对组合内生流动性风险的控制至关重要,选择合适的交易策略,可以利用股票间的相关性内耗部分内生流动性风险,降低组合交易风险。Since there are the interaction linkages and specified value effects among different blocks and such between stocks belonging to the same block, the trade of a stock will have effects not only on its price, but also on the prices of other stocks. So the institution investor who invests a portfolio will face complex interior liquidity risk. We try to build a more popular portfolio＇s readjustment strategies model based on the further application Neil Chriss＇s portfolio＇s liquidation strategies model into practice. Through the example＇s analysis, we concluded that interior liquidity risk and the executive cost invested in the portfolio＇s readjustment process will be reduced if we give the interaction linkage and specified value effect fully consideration.

关 键 词：内生流动性风险 联动效应 比价效应 证券组合 控制策略 

分 类 号：F830.9[经济管理—金融学]