The Investigation on Optimal Liquidation of Fund Portfolio Considering Liquidity Risk

被引:0
|
作者
Yu Hongxia [1 ]
机构
[1] Zhejiang Normal Univ, Sch Management, Jinhua 321004, Peoples R China
关键词
liquidity risk; portfolio; VaR;
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The paper examines optimal execution strategy of fund portfolio under a given period with different risk-averse of fund managers as stock prices of fund portfolio are not subject to order arithmetic Brownian motion with drift term. The result shows that under the conditions given in the random realization period, the fund's liquidity risk of the portfolio is affected by the realized strategy, the larger coefficient of risk aversion, the greater the rate of pre realize assets and reduce the position sooner.
引用
收藏
页码:694 / 697
页数:4
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