【摘要】 本文基于证券价格服从连续算术布朗运动的假设,以投资者最小化变现损失为目标,利用上证50样本股票分别求出最优清算期和变现损失LVaR值。研究表明,相比较低流动性的股票组合而言,高流动性股票组合具有较低的波动性、较小的瞬时冲击系数、较短的清算期和较小的变现损失等;流动性差异以及不同的清算策略对变现损失都会带来非常大的影响;投资者可以根据市场流动性调整股票组合,以及利用最优交易执行策略等手段减少因流动性不足所导致的损失。更多还原

【Abstract】 Using the Shanghai Stock 50 Index Component stocks,this paper estimates the optimal liquidation period and liquidation losses,namely LVaR,by assuming that the price follows arithmetic Brownian motion and investors minimizes the liquidation losses.The results indicate that the higher liquidity group has the lower volatility,smaller temporary impact coefficient,shorter liquidation period and lower LVaR as compared with the lower liquidity group.Both the difference in liquidity and different liquidation strategy will bring a strong effect on liquidation losses;investors can adjust the portfolios according to the market liquidity and take advantage of the optimal transaction execution strategy to reduce the losses caused byt hei lliquidity.更多还原