发帖
雷达卡
摘要翻译：
在一个安全和一个风险资产的市场中，具有较长投资期限、持续的投资机会和持续的相对风险厌恶的投资者以较小的比例交易费用进行交易。我们导出了最优投资策略及其隐含福利、流动性溢价和交易量的显式公式。在第一个顺序，流动性溢价等于利差，乘以股票成交量，乘以一个通用常数。结果是稳健的消费和有限的水平。我们利用交易费用市场与另一个无摩擦市场的等价性，在一个影子风险资产市场中，投资机会是随机的。影子价格也是显式的。
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英文标题：
《Transaction Costs, Trading Volume, and the Liquidity Premium》
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作者：
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter
Schachermayer
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最新提交年份：
2013
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals the spread, times share turnover, times a universal constant. Results are robust to consumption and finite horizons. We exploit the equivalence of the transaction cost market to another frictionless market, with a shadow risky asset, in which investment opportunities are stochastic. The shadow price is also found explicitly.
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PDF链接：
https://arxiv.org/pdf/1108.1167
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