带有固定-比例交易成本最优变现策略  

Optimal Liquidation Strategy with Fixed-proportion Cost

作　　者：胡小平[1] 李超杰[2] 何启志[1] 何建敏[1] 

机构地区：[1]东南大学经济管理学院,江苏南京210096 [2]河海大学商学院,江苏南京210000

出　　处：《系统工程》2009年第5期55-60,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70671025)

摘　　要：假定股票价格服从连续时间的几何布朗运动,而交易只能在离散时点发生,交易存在固定-比例成本(佣金),投资者是风险厌恶的,论文研究了投资者的最优变现策略问题。首先,给出了变现策略的数学描述及投资者的目标函数。然后,用样条函数来刻画一个交易日内的相对变现折现率。接着,给出了价格冲击函数。最后,给出一个算例。研究结果表明,在不同的风险偏好情况下,无论天内流动性随时间变化的形状如何,股票的流动性越差,投资者越是尽早卖出手中的头寸;流动性越好,卖出的时间越往后推迟;投资者越是厌恶风险,投资者越是选择在股票市场收盘前尽可能多的卖出头寸。The optimal liquidation strategy of Risk-averse investor is investigated with stock price describe by a continuum- time geometry Brownian movement, and the trade with fixed-proportion cost which only occurs at discrete time point. Firstly, the liquidation strategy is depicted and the objective function of the investor is given. Secondly, the intraday relative liquidation discount rate is represented by making use of a spline function. And then, the price-impact function is obtained. Lastly, a numerical example is illustrated. The result of the present research shows that, with different risk preference, no matter how the intraday liquidity changes, the poorer the stock＇s liquidity is, the sooner investors sell the cash position in the hand; the stronger the stock＇s liquidity is, the more the selling time is deferred; the more risk-averse investors become, the more investors choose to sell the position as much as possible before the stock market is closed.

关 键 词：离散时间 固定-比例成本 变现策略 样条函数 价格冲击 

分 类 号：F830[经济管理—金融学]