资本资产出清问题动态决策建模

A Dynamic Decision Model for the Liquidation Problem

在资本资产出清问题中,投资者需要同时考虑市场价格变化与流动性的影响。现有研究仅仅考察了静态决策,此时,市场价格服从随机行走。本文克服了这个限制,考虑到投资者依赖于自身预测来确定未来价格的特点,建立了动态决策的一般框架模型,大大扩展了应用范围。我们发现,最优出清策略不但受市场价格变化与流动性的影响,而且它围绕匀速出清而变动。最后,我们分析了最优策略的参数灵敏度。

For the liquidation problem of a capital asset, investors have to consider the impact of both the variance of market price and liquidity. In existing literatures, the problem is formulated as a static decision problem, where the dynamics of the market price is modeled as a random walk. However, investors often determine future price by their estimation. We present a general framework based on dynamic decision, which extends the current application. We find that the optimal strategy relys on the variance of the price and the liquidity, and varies with a constant-speed also strategy. Finally, the parameter sensitivity of the optimal strategy is studied.