Portfolio choice with small temporary and transient price impact
Portfolio choice with small temporary and transient price impact
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对暂时和暂时价格影响较小的投资组合选择
DOI：
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发表时间：
2017
影响因子：
1.6
通讯作者：
Johannes Muhle‐Karbe
中科院分区：
文献类型：
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作者：
Ibrahim Ekren;Johannes Muhle‐Karbe
我们研究了Garleanu和Pedersen提出的具有暂时和瞬时价格影响的模型中的投资组合选择。在两个摩擦都很小的大流动性限制下，我们推导出渐近最优交易率和相应的最小领先订单性能损失的显式公式。我们发现，损失是由无摩擦的目标策略的波动性，像在模型中只有暂时的价格影响。相比之下，相应的最优投资组合不仅跟踪无摩擦优化器，而且还利用市场价格从其未受影响的水平的位移。
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen. In the large‐liquidity limit where both frictions are small, we derive explicit formulas for the asymptotically optimal trading rate and the corresponding minimal leading‐order performance loss. We find that the losses are governed by the volatility of the frictionless target strategy, like in models with only temporary price impact. In contrast, the corresponding optimal portfolio not only tracks the frictionless optimizer, but also exploits the displacement of the market price from its unaffected level.