Optimal portfolio choice and the valuation of illiquid securities

被引：131
作者：
Longstaff, FA [1 ]
机构：
[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA
来源：
REVIEW OF FINANCIAL STUDIES | 2001年 / 14卷 / 02期
关键词：
D O I：
10.1093/rfs/14.2.407
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Traditional models of portfolio choice assume that investors can continuously trade unlimited amounts of securities. In reality, investors face liquidity constraints. I analyze a model where investors are restricted to trading strategies that are of bounded variation. An investor facing this type of illiquidity behaves very differently from an unconstrained investor. A liquidity-constrained investor endogenously acts as if facing borrowing and short-selling constraints, and one may take riskier positions than in liquid markets. I solve for the shadow cost of illiquidity and show that large price discounts can be sustained in a rational model.
引用
收藏
页码：407 / 431
页数：25
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