Discount of Illiquid Asset Value under Utility Indifference Pricing

摘要：

This paper applies the stochastic dynamic programming theory in Markov Decision Process (MDP) to examine the discounts of iiliquid assets under short sale constraints using utility indifference pricing measure. The simulation results show that the illiquid assets only discount under short sale constraints. The discount ratios are related with the percentage of illiquid wealth, the restricted terms of illiquid assets and the risk aversion of investors.

关键词： Illiquid asset pricing short sales constraints

作者: Hai Lin Zhenlong Zheng

作者单位: Department of Finance and Wangyanan Institute for Studies in Economics,Xiamen University,361005,Chin Department of Finance,Xiamen University,361005,China

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 52-55

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）