基于内生流动性风险的证券组合调整策略  

Study on Portfolio's Readjustment Strategy Considering the Endogenous Liquidity Risk

作　　者：张丽芳[1,2] 刘海龙[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052 [2]复旦大学应用经济学博士后流动站,上海200433

出　　处：《管理工程学报》2009年第3期51-56,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：流动性的缺乏,使投资者面临内生流动性风险,股票间的相关性又使其更加复杂化。证券组合的调整策略,不仅要达到调整目标,还要实现投资者效用的最大化。本文扩展了Almgren和Chriss的证券组合变现模型,建立了基于内生流动性风险的证券组合调整策略模型,并用一阶条件得到了数值解。算例分析给出了投资者调整策略的有效边界;指出投资者越厌恶风险,越倾向于首尾时段交易;相关性分析表明风险承受能力越强的投资者越应关注股票间的相关关系,通过股票间的相关性进一步降低执行成本。Investors are faced with endogenous liquidity risk because of lack of liquidity, which is perplexing for the relativity of the stocks. The optimal readjustment strategy not only aims at the target position, but also maximizes the utility of the investor during the readjustment period. We try to build a more popular pertfolio＇s readjustment strategies model based on the further application Neil Chriss ＇s porffolio＇s liquidation strategies model into practice and resolve it by the First-Order condition. The example＇s analysis gives us the efficient frontier of the readjustment strategies for the given portfolio. Through the example＇s analysis, we conclude that the more risk-averse investors are, the more inclined to trade at the beginning and the end of the trading process they are; the more risk-beating capability investors have, the more attention they should pay to the relativity of the stocks during the trading process.

关 键 词：内生流动性风险 证券组合 调整策略 

分 类 号：F830.9[经济管理—金融学]