资金约束条件下机构投资者最优投资策略

The Optimal Investing Strategies of the Institution Investor under the Financial Budget

在机构投资者投资面临资金约束的前提下,考虑投资过程的内生流动性风险,假设机构投资者不进行交易时股票的价格运动服从不带漂移项的算术布朗运动,以股票购买量为控制变量,得到机构投资者最小平均成本投资策略;考虑投资者的策略对市场新信息的动态反应,将静态最优策略扩展为动态相机投资策略.Monte Carlo模拟的结果表明动态相机策略所用平均成本低于静态最优策略.

On facing the financial budget, the minimum-cost strategy of the institute investors is deduced theoretically on the hypothesis that they will invest when the market is dull, taking the interior liquid risk inte account. In the model,the control variable is the volumes at which the institutes invest the stock. After taking the new market information into the strategy, the static best strategy will be extended to the dynamic strategy. The results of the Monte Carlo simulation show the dynamic strategy cost less than the static best strategy on average.