Dynamic portfolio choice with stochastic liquidity risk: A perturbation approach

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2026-04-01 DOI:10.1016/j.frl.2026.109847

Jayden Zian Wang , Zheqi Fan , Yifan Ye

引用次数: 0

Abstract

We study a dynamic portfolio choice problem under the liquidity-adjusted asset price specification proposed by Feng et al. (2014). Given the intractability of an explicit solution to this problem, we develop a perturbation method to derive a second-order approximate solution, which captures not only the frictionless benchmark and linear liquidity effects, but also nonlinear liquidity corrections Finally, a series of numerical illustrations is provided to demonstrate the sensitivity of the approximate indirect utility function and optimal portfolio strategy to key model parameters.

查看原文本刊更多论文

随机流动性风险下的动态投资组合选择：一个摄动方法

我们研究了Feng等（2014）提出的流动性调整资产价格规范下的动态投资组合选择问题。考虑到该问题的显式解的棘手性，我们开发了一种摄动方法来推导二阶近似解，该解不仅可以捕获无摩擦基准和线性流动性效应，还可以捕获非线性流动性修正。最后，提供了一系列数值实例来证明近似间接效用函数和最优投资组合策略对关键模型参数的敏感性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance