引用本文:胡小平, 何建敏, 吕宏生.最优变现策略及最优变现时间[J].控制理论与应用,2007,24(2):312~316.[点击复制]
HU Xiao-ping, HE Jian-min, LU Hong-sheng.On optimal liquidation strategy and optimal liquidation time[J].Control Theory and Technology,2007,24(2):312~316.[点击复制]
最优变现策略及最优变现时间
On optimal liquidation strategy and optimal liquidation time
摘要点击 2760  全文点击 794  投稿时间：2005-05-12  修订日期：2006-04-29
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DOI编号  10.7641/j.issn.1000-8152.2007.2.028
  2007,24(2):312-316
中文关键词  内生变现时间  最优变现策略  最优变现时间
英文关键词  endogenous liquidation time  optimal liquidation strategy  optimal liquidation time
基金项目  国家自然科学基金资助项目(70371035).
作者单位
胡小平, 何建敏, 吕宏生 东南大学 经济管理学院, 江苏 南京 210096 
中文摘要
      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.
英文摘要
      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.