[1] Zhong Liming, Liu Hailong, Wu Chongfeng,. Optimal control strategy of institutional investor’s execution cost [J]. Journal of Southeast University (English Edition), 2004, 20 (2): 240-244. [doi:10.3969/j.issn.1003-7985.2004.02.024]

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Optimal control strategy of institutional investor’s execution cost()

机构投资者执行成本的最优控制策略

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Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]

Volumn:

20

Issue:

2004 2

Page:

240-244

Research Field:

Economy and Management

Publishing date:

2004-06-30

Info

Title:

Optimal control strategy of institutional investor’s execution cost

机构投资者执行成本的最优控制策略

Author(s):

Zhong Liming;  Liu Hailong;  Wu Chongfeng

School of Management, Shanghai Jiaotong University, Shanghai 200052, China

仲黎明;  刘海龙;  吴冲锋

上海交通大学管理学院, 上海 200052

Keywords:

liquidation;  execution cost;  optimal control

变现;  执行成本;  最优控制

PACS:

F830

DOI:

10.3969/j.issn.1003-7985.2004.02.024

Abstract:

Optimal control of multi-assets liquidation in view of volatility risk was studied. The analytical solution of optimal strategy was achieved with the calculus of variation. Numerical examples and graphical illustrations were also given. The conclusion shows that the optimal strategy is the linear combination of time’s hyperbolic sine and hyperbolic cosine. The investor’s attitude towards risk can influence the optimal strategy. In order to avoid the uncertainty of the execution cost, the investor with high risk aversion liquidates assets rapidly in the early period. The decrease of liquidation loss is at the cost of the increase of the volatility level.

研究了考虑波动性风险时多个资产变现的最优控制策略, 并利用变分法求出最优策略的解析形式.研究表明, 最优控制策略是时间的双曲正弦和双曲余弦函数的线性组合, 并且与投资者的风险厌恶程度有关.当投资者风险厌恶程度较高时, 他会在早期就迅速降低头寸, 以规避风险.在变现过程中, 变现成本的减少是以变现成本波动水平的提高为代价的.

References:

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Memo

Memo:

Biographies: Zhong Liming(1976—), male, graduate; Liu Hailong(corresponding author), male, professor, hlliu@sjtu.edu.cn.

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