标题： 流动性差资产的最优投资组合 显示英文标题

标题： Optimal Portfolios of Illiquid Assets

摘要： 本文研究了一个具有CARA风险偏好的大型非监管金融机构（FI）的投资行为。 它展示了该机构如何通过扩展Almgren-Chriss多风险资产市场影响模型来优化其交易，以考虑市场流动性不足。 这个在适应性策略集合上的期望效用优化问题被证明与确定性交易策略上的均值-方差优化有相同的解。 这意味着最优的适应性交易策略既是确定性的又是时间一致的。 还发现它具有显式的闭式表达，清楚地显示了有趣的性质。 例如，经典的常数Merton投资组合策略是该问题无摩擦极限的一个特解，在更一般的解空间中表现得像一个吸引子。 临时市场影响的主要效应是减缓向这一常数Merton投资组合的收敛速度。 永久市场影响的效果是激励金融机构在时期末附近购买额外的风险资产。 我们称之为庞氏特性，这一特性与市场中的泡沫形成和破裂有关。 所提出的模型可以作为典型金融机构的简化动态模型，在研究与理解系统性风险和金融稳定相关的资产拍卖渠道时使用。 显示英文摘要

摘要： This paper investigates the investment behaviour of a large unregulated financial institution (FI) with CARA risk preferences. It shows how the FI optimizes its trading to account for market illiquidity using an extension of the Almgren-Chriss market impact model of multiple risky assets. This expected utility optimization problem over the set of adapted strategies turns out to have the same solutions as a mean-variance optimization over deterministic trading strategies. That means the optimal adapted trading strategy is both deterministic and time-consistent. It is also found to have an explicit closed form that clearly displays interesting properties. For example, the classic constant Merton portfolio strategy, a particular solution of the frictionless limit of the problem, behaves like an attractor in the space of more general solutions. The main effect of temporary market impact is to slow down the speed of convergence to this constant Merton portfolio. The effect of permanent market impact is to incentivize the FI to buy additional risky assets near the end of the period. This property, that we name the Ponzi property, is related to the creation and bursting of bubbles in the market. The proposed model can be used as a stylized dynamic model of a typical FI in the study of the asset fire sale channel relevant to understanding systemic risk and financial stability.