英文标题：
《Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion》
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作者：
Jia-Wen Gu and Mogens Steffensen
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最新提交年份：
2015
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英文摘要：
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time. We get explicit trading strategies in the basic model and when random pricing signals are incorporated. When we consider stochastic liquidity and volatility, we construct a generalized HJB equation under general assumptions for the parameters. We obtain an explicit solution in stochastic volatility model with a given structure supported by empirical studies.
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中文摘要：
在本文中，我们考虑了动态均值-方差准则下的最优投资组合清算问题，并在三个重要模型中得到了时间一致性解。在重新考虑均值-方差问题的情况下，我们给出了在任意时刻的自适应最优策略。在基本模型中，当引入随机定价信号时，我们得到了明确的交易策略。当我们考虑随机流动性和波动性时，我们在参数的一般假设下构造了一个广义HJB方程。通过实证研究，我们在给定结构的随机波动率模型中得到了一个显式解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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