随机冲击下的最优变现策略

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。本文考虑在随机冲击下机构投资者的纯卖变现行为，利用最优控制理论研究内生的最优变现时间问题。敏感性分析表明．最优变现策略和变现时间由市场价格波动率、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。

Optimal Liquidation Strategy under the Stochastic Impact

Relative to ordinary investor, the institution investor processing a large block asset transacts the asset, and this transaction will make the unilateral change of the asset price, which causes the liquidity risk. Under the stochastic impact, this paper analyses the only-sell action, and studies the problem of optimal endogenous liquidation time by utilizing optimal control theory. The analysis of sensitivity suggests that the optimal liquidation strategy and liquidation time are determined by volatility of market price, liquidity of asset and risk adverse reference, and then needs to select the right liquidation strategy according to the correlative condition.