最適資產配置問題：考慮資產流動性

Optimal Asset Allocation under the Liquidity Constraint

張士傑(Shih-Chieh Bill Chang)；杜昌燁(Chang-ye Tu)

最適資產配置問題 ； Hamilton-Jacobi-Bellman（HJB）方程式 ； 資產流動性 ； 交易成本 ； optimal asset allocation problem ； liquidity ； transaction cost ； Hamilton-Jacobi-Bellman (HJB) equation

風險管理學報

20卷2期（2018 / 12 / 01）

85 - 105

繁體中文

本文研究考慮資產流動性與交易成本的最適資產配置問題：給定由高流動性、低報酬與低流動性、高報酬兩種資產組成並存在資產互轉交易成本之市場，資產有下界且保費收入滿足雙態Poisson隨機過程之條件下，藉由數值求解相伴的Hamilton-Jacobi-Bellman（HJB）方程式獲得不同保費收入與各資產規模水平之最適分紅與提存規則。

We investigate the optimal asset allocation problem under the consideration of liquidity and transaction costs. Given the portfolio endowed with a liquid asset, an illquid one, and an exdogenous income process which obeys the two-state Poisson distribution, the optimal consumption and deposit rule is obtained by imposing the transcation cost mechanism and the asset value constraints and solving the corresponding HJB equation numerically.

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