Liquidity-constrained Portfolio Model and Empirical Analysis

摘要：

One of the assumptions is that market is perfect in traditional Markowitz’s portfolio selection model. But it is inconsistent with reality. So we relax its assumptions by adding liquidity factors to study investors’ portfolio choice. We perform empirical analysis based on China A-shares markets. These results show that there is a notable difference in portfolio choice behavior after adding liquidity factors. In imperfect markets, investors must develop choice between returns, volatility and liquidity. If higher liquidity was required, this behavior will lead to lower risk and lower expected returns. And there exits higher risk and higher expected returns, and vice versa.

作者: Chu Xiaojun Liu Sifeng

作者单位: Nanjing University of Information Science & Technology, Nanjing 210014 China College of economics and management of Nanjing University of Aeronautics and Astronautics, Nanjing 2

会议类型: 国际会议

会议名称: 2009 IEEE International Conference on Grey System and Intelligent Services(2009 IEEE灰色系统与服务科学国际会议)

会议地点: 南京

会议语种:英文

页码: 517-520

在线出版日期: 2009-10-20（万方平台首次上网日期，不代表论文的发表时间）