开放式基金流动性风险的最优控制

Optimal control of liquidity risk of the open-end fund

在证券价格服从离散时间算术布朗运动的假设下 ,得到资产流动性风险最优控制策略 ,并对该策略进行有关参数的敏感性分析。研究结果表明 ,流动性系数较大时 ,最优控制策略接近于线性策略 ;流动性系数较小时 ,资产管理者会迅速将资产头寸降至理想水平 ,并在大部分时间内保持这种状态 ,直到变现期末达到资产目标头寸。最优策略对管理者的风险厌恶程度、资产波动率和流动性系数较为敏感 ,而对证券超额收益率敏感程度较低。

Under the assumption that the security′s price follows the discrete-time arithmetic Brown motion process, the optimal control strategy of the asset′s liquidity risk is proposed and the parameters sensitivity of the strategy is analyzed. The optimal strategy approximates to the linear strategy if the liquidity coefficient is small enough. Otherwise, the manager initially sells very rapidly from initial position down to the optimum level, and keeps the optimal magnitude in most time of the period, and reaches the required scale at the end of the period rapidly. The strategy is sensitive to the manager′s risk tolerance, the asset volatility rate and the liquidity coefficient, but it is insensitive to the security excess return rate.