Liquidity Constraints for Portfolio Selection Based on Financial Volume

被引：4
|
作者：
Vieira, Eduardo Bered Fernandes [1 ]
Filomena, Tiago Pascoal [1 ]
机构：
[1] Univ Fed Rio Grande do Sul, Porto Alegre, RS, Brazil
来源：
COMPUTATIONAL ECONOMICS | 2020年 / 56卷 / 04期
关键词：
Liquidity; Portfolio selection; Liquidity constraint; RISK PARITY; NAIVE DIVERSIFICATION; TRADING VOLUME; CROSS-SECTION; OPTIMIZATION; ILLIQUIDITY; COSTS; ALGORITHM;
D O I：
10.1007/s10614-019-09957-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes liquidity constraints for portfolio selection models based on financial volume. The constraints consider different parameters such as the value of the portfolio and the acceptable liquidation level. Different portfolio selection models were tested in different scenarios. The liquidation level and its impact on the risk level are verified in the portfolio. The results are robust for all of the performed tests, with reasonable levels of portfolio liquidation. As expected, there is an increase in the level of risk of liquidity-restricted portfolios.
引用
收藏
页码：1055 / 1077
页数：23
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