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首页> 外文期刊>Journal of Economic Dynamics and Control >Leverage management in a bull-bear switching market
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Leverage management in a bull-bear switching market

机译：牛市转换市场中的杠杆管理

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摘要

Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time dependent investment strategy in a "bull" market and a "bear" market. We show that when the market switches from the "bull" market to the "bear" market, complete deleveraging, reducing the degree of leverage, or keeping leverage unchanged may all be optimal strategies, subject to underlying market conditions. We further show that the investor may optimally keep leverage unchanged in the "bear" market, particularly so for illiquid asset. On the other hand, a lower borrowing cost in the "bear" market would prevent sell offs.
机译：面对不断变化的经济状况，投资者是否应该撤消其投资组合？我们研究了在两个市场条件之间随机切换的经济中，投资者具有有限期和交易成本的最佳交易策略。我们充分描述了投资者在“牛市”和“熊市”中的时间依赖型投资策略。我们证明，当市场从“牛市”转向“熊市”时，根据潜在的市场条件，完全去杠杆，降低杠杆程度或保持杠杆不变可能都是最佳策略。我们进一步表明，投资者可能会在“熊市”中最佳地保持杠杆不变，尤其是对于非流动性资产而言。另一方面，“熊市”中较低的借贷成本将防止抛售。

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