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在机构投资者投资面临资金约束的前提下,考虑投资过程的内生流动性风险,假设机构投资者不进行交易时股票的价格运动服从不带漂移项的算术布朗运动,以股票购买量为控制变量,得到机构投资者最小平均成本投资策略;考虑投资者的策略对市场新信息的动态反应,将静态最优策略扩展为动态相机投资策略.Monte Carlo模拟的结果表明动态相机策略所用平均成本低于静态最优策略.
Considering the endogenous liquidity risk in the investment process under the capital constraint of institutional investors’ investment, assuming that the institutional investors do not trade the price movement of the stock subject to the arithmetic Brownian motion without drift and control the purchase amount of the stock Variables, and get the least average cost investment strategy of institutional investors. The static optimal strategy is extended to the dynamic investment strategy considering the dynamic response of investors’ strategy to new market information. The results of Monte Carlo simulation show that the average cost of dynamic camera strategy is low In the static optimal strategy.