股票变现的最优控制策略

Optimal Control Strategy for Stock Liquidation

在连续时间框架且股票价格服从几何布朗运动的情况下,以机构投资者的变现行为为例,研究了其不完全变现的最优控制问题,并利用最优控制理论中的极小值原理得到了最优变现策略的解析解.敏感性分析表明:最优变现策略由市场价格波动率、资产的流动性和机构投资者的风险厌恶偏好共同决定,需要投资者相机选择合适的最优变现策略.

Under the assumption that the stock＇s price follows the geometric Brown motion,the optimal control problem of an institutional investor＇s not full liquidation cost in the continuous-time frame is studied.The analytical solution of optimal liquidation strategy is obtained by using minimum principle in optimal control theory.The analysis of sensitivity shows that the optimal liquidation strategy is decided by market price volatility,asset liquidity and institutional investor＇s risk aversion preference,which needs investor to select the right optimal liquidation strategy.