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Market crashes, correlated illiquidity, and portfolio choice

机译：市场崩溃，相关的非流动性和投资组合选择

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摘要

A market crash presents several insights on the fundamental elements for optimal portfolio choice such as significance of event risks, dry state in case of market liquidity, and incidence of another crash after the crash and changes in the investment opportunity set parameters. The research work has tried to develop a flexible portfolio choice model which remains tractable for a small investor that incorporates correlated market crashes and changes in the investment opportunity set. Especially the optimal strategy of a constant relative risk averse investor who derives utility from terminal wealth and can trade a riskless asset and a risky stock continuously has been discussed. During a market crash, stock price crashes in a liquid regime. This triggers switching into an illiquid regime where other parameters such as crash intensity, expected return, and volatility can also change. Similarly, large upward price jumps in the illiquid regime can trigger regime switching into the liquid regime. The model has been presented and an iterative procedure to find the optimal trading policy and an extensive analysis of the optimal trading strategy has been conducted.
机译：市场崩盘对最佳投资组合选择的基本要素提供了一些见解，例如事件风险的重要性，市场流动性情况下的干燥状态，崩盘后再次崩盘的发生以及投资机会设置参数的变化。该研究工作试图开发一种灵活的投资组合选择模型，该模型对于结合了相关的市场崩溃和投资机会变化的小投资者而言仍然易于处理。尤其是讨论了一个恒定相对风险厌恶投资者的最优策略，该投资者从终端财富中获得效用，可以连续交易无风险资产和风险股票。在市场崩溃期间，股价在流动性状况下崩溃。这触发了切换到流动性低下的状态，在该状态下其他参数（如碰撞强度，预期收益和波动性）也可能发生变化。同样，在非流动性制度下，价格的大幅上涨会触发政权转换为流动性制度。提出了该模型，并找到了最佳交易策略的迭代过程，并对最佳交易策略进行了广泛的分析。

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  • 来源
    《Operations Research》 |2014年第2期|101-102|共2页
  • 作者

    Hong Liu; Mark Loewenstein;

  • 作者单位

    Olin Business School, Washington University in St. Louis, St. Louis, MO 63130;

    Robert H. Smith School of Business, University of Maryland, College Park, MD 20742;

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