机构投资者的最优变现策略  

OPTIMAL EXECUTION STRATEGY FOR INSTITUTION INVESTORS

作　　者：唐文芳[1] 杨招军[2] 

机构地区：[1]湖南大学数学与计量经济学院,长沙410082 [2]湖南大学经济与贸易学院,长沙410079

出　　处：《经济数学》2008年第2期183-187,共5页Journal of Quantitative Economics

摘　　要：在投资、变现等大宗交易过程中,资产交易价格与交易策略密切相关,因此,交易的完成过程需要很高的技巧.文章讨论了机构投资者的最优变现策略问题,假设证券价格服从几何布朗运动,以均值方差效用为目标函数,得到了最优变现策略所满足的二阶微分方程,并由差分法得到其数值解.最后,由参数的敏感性分析知:最优变现策略与瞬时冲击、市场波动率及风险厌恶系数等参数有关,但与永久冲击无关,且最优变现策略对市场波动率和瞬时冲击的变化较敏感.The trading prices of assets are dependent on the strategies in a large scale of trading. For this reason, how to finish a transaetian needs a complex technique. In this paper, we analyse the optimal execution strategy for institutional investors. Assuming that asset price follow geometric Brownian motion, this paper studies the optimal strategies which minimize the sum of the variance and expectation of the execution costs by using of variations. And the optimal strategy is given ＂by the numerical solution. In the end, the sensitivity of the strategy is disenssed. The strategies are affected by temporary impact parameter, market volatility and risk adverse reference. The strategies are sensitive to temporary impact parameter and market volatility. The strategies are unrelated to permanent impact parameter.

关 键 词：最优变现策略 瞬时冲击 永久冲击 

分 类 号：F224.3[经济管理—国民经济]