원문정보
초록
영어
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.
목차
1 Introduction
2 The Basic Model
2.1 The Financial Market
2.2 The Robust Portfolio Problem without Transaction Costs
2.3 The Robust Portfolio Problem with Transaction Costs
3 Analytical Comparative Statics
4 Implications
4.1 Baseline Parameters
4.2 Optimal Trading Strategies
4.3 Liquidity Premium
4.4 Liquidity Crash in the Global Crisis and Ambiguity Aversion
5 Conclusion
6 Appendix
References