| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24222 |
| 来源ID | Working Paper 24222 |
| Liquidity Regimes and Optimal Dynamic Asset Allocation | |
| Pierre Collin-Dufresne; Kent D. Daniel; Mehmet Saǧlam | |
| 发表日期 | 2018-01-22 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We solve a portfolio choice problem when expected returns, volatilities and trading-costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance portfolios in all future states. The trading speed is higher in more persistent, riskier and higher-liquidity states. It can be optimal to overweight low Sharpe-ratio assets such as Treasury bonds because they remain liquid even in crisis states. We illustrate our methodology by constructing an optimal US equity market timing portfolio based on an estimated regime-switching model and on trading costs estimated using a large-order institutional trading dataset. |
| 主题 | Microeconomics ; General Equilibrium ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24222 |
| 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/581895 |
| 推荐引用方式 GB/T 7714 | Pierre Collin-Dufresne,Kent D. Daniel,Mehmet Saǧlam. Liquidity Regimes and Optimal Dynamic Asset Allocation. 2018. |
| 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 | ||
| w24222.pdf（1344KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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