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- W2370874663 abstract "Relative to ordinary investor,the institution investor processing a large block asset,when transact the asset will make the unilateral change of the asset price,which can cause the liquidity risk.With the assumption that the stock's price followed the geometric Brown motion,it analysed the optimal liquidation strategy of complete liquidation action under the stochastic impact,and studied the problem of the optimal liquidation strategy by minimum principle in optimal control theory.The optimal liquidation strategy is decided by market price volatility,asset liquidity and institutional investor's risk aversion preference.Take shenfazhan stock for example,Institution investor need to select the right optimal liquidation strategy to bring down the liquidity risk at the market,they can get more profits." @default.
- W2370874663 created "2016-06-24" @default.
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- W2370874663 date "2012-01-01" @default.
- W2370874663 modified "2023-09-23" @default.
- W2370874663 title "Institusion Investors′ Optimal Liquidation Strategy" @default.
- W2370874663 hasPublicationYear "2012" @default.
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