基于供应曲线的最优变现策略研究

Research on optimal liquidation strategy based on supply curve

基于供应曲线理论研究了机构投资者的最优变现策略问题.首介绍了供应曲线的相关理论.利用供应曲线,给出了变现策略与变现成本的数学描述.基于极大值原理,获得了问题的解析解,并对经济意义进行了阐述.研究结果表明,当变现速度不受限制时,机构投资者应先买入头寸,到某一时点后,即开始卖出头寸,并且卖出的速度变化量是越来越小,最终以接近恒定速度卖清手中所有的头寸;变现速度受限时,机构投资者应先以较小的速度卖出头寸,逐渐增大卖出速度,直到最大卖出速度,再以较小的速度卖清手中头寸.

The optimal liquidation strategies of the institution investor are investigated based on supply curves. Firstly, the theory on supply curve is introduced. Secondly, the liquidation strategy and liquidation cost are provided by utilizing the supply curve. Furthermore, the analytic solution of this problem is obtained based on the maximum principle. Finally, the solution is expatiated in the sense of economic. The result of this paper shows that the institution investor should buy the positions first and then start to sell the positions held after a certain point, furthermore, the change quantity of liquidating speed is smaller and smaller, and ultimately, liquidate all positions held with approximately constant speed if the liquidating speed is not limited. Otherwise, the institution investor should sell the positions held with a slower speed is reached, and then augment gradually the liquidating speed until a maximum liquidating speed, and then liquidate all positions held with a slower speed.