회원공간
사진첩
[2013년 제 2차] Liquidity Crashes and Robust Portfolio Management
작성자 : 관리자
조회수 : 855
게시일 :
2013-06-05
We find robust portfolio rules for ambiguity-aversive fund managers in a financial market with transaction costs. The model proposed in this paper permit liquidity premium much bigger than those found by most empirical literature. Using reasonably-calibrated parameters, we find liquidity premium obtained from the model is much bigger, so transaction costs can have a significant effect on investors’ optimal investment behaviors. We also show that a high ambiguity aversion could be an explanation for a puzzling feature during economic crises that liquidity was greatly reduced in the financial market. Our model shows that a fund manager with a higher ambiguity aversion requires much bigger liquidity premium at times of down markets than at times of up markets.
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