【摘要】 研究了变现时间内生时,投资者的最优变现策略和最优变现时间问题,市场价格的永久冲击和瞬时冲击均为变现速度的线性函数,并且变现速度是一带孤立点的闭集合,利用最优控制理论中的极大值原理,得到了问题的解析解,研究结论表明,最优变现策略和变现时间由市场条件、股票的波动性、流动性、头寸规模和投资者的风险偏好共同决定;永久冲击只影响变现的收益,与最优变现策略和时间无关。更多还原

【Abstract】 The optimal liquidation strategy and optimal liquidation time are studied with endogenous liquidation time horizon.Both the permanent impact and the temporary impact are the linear function of the liquidation velocity,and the liquidation velocity is a closure set with an isolated point.An analytic solution is then obtained by the maximum principles in optimal control theory.The result shows that the optimal liquidation strategy and optimal liquidation time are commonly governed by market conditions,stock volatility,stock liquidity,position size and risk preference.Furthermore, the permanent impact only affects the total liquidation return,not affects the optimal liquidation strategy and optimal liquidation time.更多还原