机构投资者的最优变现策略

Institusion Investors′ Optimal Liquidation Strategy

相对于普通投资者,大规模持有某种资产的机构投资者在交易这种资产时,其行为会导致资产价格的单向变动,从而产生流动性风险。针对机构投资者在连续时间框架且股票价格服从几何布朗运动的情况,提出在随机冲击下其完全变现行为的最优变现策略,利用最优控制理论中的极小值原理研究其最优变现策略。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。以深发展股票为例,验证了机构投资者在随机冲击下可根据上述结论选择合适的最优变现策略,降低其在市场中所面临的流动性风险,使得股票的账面价值更可能多的转换为实际收益。

Relative to ordinary investor, the institution investor processing a large block asset , when transact the asset will make the unilateral change of the asset price, which can cause the liquidity risk. With the assumption that the stock＇ s price followed the geo- metric Brown motion, it analysed the optimal liquidation strategy of complete liquidation action under the stochastic impact, and studied the problem of the optimal liquidation strategy by minimum principle in optimal control theory. The optimal liquidation strategy is decided by market price volatility, asset liquidity and institutional investor＇ s risk aversion preference. Take shenfazhan stock for example, Institution investor need to select the right optimal liquidation strategy to bring down the liquidity risk at the market, they can get more profits.