东南大学学报（英文版）2004，Vol.20Issue(2)：240-244,5.
机构投资者执行成本的最优控制策略
Optimal control strategy of institutional investor's execution cost
摘要
Abstract
Optimal control of multi-assets liquidation in view of volatility risk was studied. The analytical solution of optimal strategy was achieved with the calculus of variation. Numerical examples and graphical illustrations were also given. The conclusion shows that the optimal strategy is the linear combination of times hyperbolic sine and hyperbolic cosine. The investors attitude towards risk can influence the optimal strategy. In order to avoid the uncertainty of the execution cost, the investor with high risk aversion liquidates assets rapidly in the early period. The decrease of liquidation loss is at the cost of the increase of the volatility level.关键词
变现/执行成本/最优控制Key words
liquidation/execution cost/optimal control分类
管理科学引用本文复制引用
仲黎明,刘海龙,吴冲锋..机构投资者执行成本的最优控制策略[J].东南大学学报（英文版）,2004,20(2):240-244,5.基金项目
The National Natural Science Foundation of China (No.70025303, No.70173031). （No.70025303, No.70173031）
