Illiquidity, position limits, and optimal investment for mutual funds

被引：19

作者：

Dai, Min ^{[2
]}

Jin, Hanqing ^{[3
,4
]}

Liu, Hong ^{[1
]}

机构：

[1] Washington Univ, Olin Business Sch, St Louis, MO 63130 USA

[2] Natl Univ Singapore, Dept Math, Singapore 117548, Singapore

[3] Univ Oxford, Math Inst, Oxford OX1 2JD, England

[4] Univ Oxford, Oxford Man Inst Quantitat Finance, Oxford OX1 2JD, England

来源：

JOURNAL OF ECONOMIC THEORY | 2011年 / 146卷 / 04期

关键词：

Illiquidity; Portfolio constraints; Position limits; Transaction costs; Mutual funds; Optimal investment; TRANSACTION COSTS; OPTIMAL CONSUMPTION; PORTFOLIO CONSTRAINTS; RISK; EQUILIBRIUM; MANAGEMENT; SELECTION; MODEL;

D O I：

10.1016/j.jet.2011.03.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the optimal trading boundaries are increasing in both the lower and the upper position limits. We find that position limits can affect current trading strategy even when they are not currently binding and other seemingly intuitive trading strategies can be costly. We also examine the optimal choice of position limits. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：1598 / 1630

页数：33

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