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| 机构投资者的最优持仓策略研究 | |
| 引用本文： | 王亚楠,吴祈宗,刘风. 机构投资者的最优持仓策略研究[J]. 数学的实践与认识, 2011, 41(8) |
| 作者姓名： | 王亚楠 吴祈宗 刘风 |
| 作者单位： | 1. 北京理工大学管理经济学院,北京100081;河北科技大学经济管理学院,河北石家庄050016 2. 北京理工大学管理经济学院,北京,100081 3. 北京理工大学管理经济学院,北京100081;中国人民警官学院,河北保定071000 |
| 摘 要： | 讨论了机构投资者的最优持仓策略问题,假设证券价格服从几何布朗运动,以均值方差效用为目标函数,得到了最优持仓策略所满足的二阶微分方程,并由差分法得到其数值解.最后,由参数的敏感性分析知:最优持仓策略与瞬时冲击、市场波动率及风险厌恶系数等参数有关,并分析了参数变化对最优持仓策略的影响. |
| 关 键 词： | 最优持仓策略 几何布朗运动 瞬时冲击 |
Study on Optimal Execution Strategy for Institution Investors |
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| WANG Ya-nan,WU Qi-zong,LIU Feng. Study on Optimal Execution Strategy for Institution Investors[J]. Mathematics in Practice and Theory, 2011, 41(8) | |
| Authors: | WANG Ya-nan WU Qi-zong LIU Feng |
| Affiliation: | WANG Ya-nan~(1,2),WU Qi-zong~2,LIU Feng~(1,3) (1.School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China) (2.College of Economic and Management,Hebei University of Science and Technology,Shijiazhuang 050016,China) (3.The Central Institute for Correctional Police,Baoding 07000,China) |
| Abstract: | Under the assumption that the security's price follows the geometric Brown motion, We studied the optimal strategies which minimize the sum of the variance and expectation of hold position cost by using of variations.Using Euler equation,the analytical solution of optimal holding strategy was obtained.By a numerical analysis,the sensitivity of the strategy was discussed.The strategies were affected by temporary impact parameter,market volatility and rist adverse reference and are unrelated to permanent impa... |
| Keywords: | optimal exection strategy Geometric Brownian Motion temporary impact |
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