| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15381 |
| 来源ID | Working Paper 15381 |
| On the Scholes Liquidation Problem | |
| David B. Brown; Bruce Ian Carlin; Miguel Sousa Lobo | |
| 发表日期 | 2009-09-24 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | How should an investor unwind a portfolio in the face of recurring and uncertain liquidity needs? We propose a model of portfolio liquidation in two periods to investigate this question, initially posed by Myron Scholes following the fall of Long Term Capital Management. We show that when the expectation of future liquidity needs is low, the optimal solution involves selling assets that have low permanent and temporary price impacts of trading. However, when there is a high probability of a large future liquidity need, the optimal solution involves retaining assets that have a small temporary impact of trading. In the face of potential future adversity, there is a high option-value to the temporary component of liquidity. The permanent component of liquidity does not share this feature, so that investors will prefer to sell assets with a low ratio of permanent to temporary price impact in the early stages of a crisis, and to hold on to assets with a high ratio of permanent to temporary price impact to protect themselves against an aggravation of the crisis. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15381 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573056 |
| 推荐引用方式 GB/T 7714 | David B. Brown,Bruce Ian Carlin,Miguel Sousa Lobo. On the Scholes Liquidation Problem. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15381.pdf（452KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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