基于限价指令的最优变现策略  

Optimal liquidation strategy with limit orders

作　　者：敖薇 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200030

出　　处：《哈尔滨商业大学学报（自然科学版）》2014年第1期120-124,共5页Journal of Harbin University of Commerce：Natural Sciences Edition

基　　金：国家自然科学基金项目(71273169)

摘　　要：最优变现策略是投资者指在一定时间内变现给定数量的头寸,并使其收益最大化的交易策略.以投资者最优卖价(限价单报价)高于市场实时一档买价的价差为变量,以收益最大化为目标建立随机控制模型,并采用HJB方程转换成一组常微分方程的求解,给出限价单的最优报价策略,利用蒙特卡洛模拟出限价指令策略的交易曲线.该模型同时考虑价格波动风险和未执行风险,并将买卖价差标准化后带入模型,避免了绝对价格的不同所带来的差异.This paper considered the investor ’ s liquidation behavior and studied the optimal liquidation strategy with limit orders , which maximized the expected profit under certain tol-erance of risk .Instead of focusing only on the scheduling aspect like Almgren and Chriss , linked the optimal trade -schedule to the price of the limit orders that have to be sent to the limit order book to optimally liquidate a portfolio .The passive sell order was made by the spread from the best ask price .This paper gave the optimal solution of this spread and de-scribes the corresponding trading curve by Monte -Carlo method .

关 键 词：最优变现策略 限价指令簿 随机控制模型 蒙特卡洛模拟 

分 类 号：O29[理学—应用数学]