摘要翻译：
对于一个绝对风险厌恶不变且投资期限较长的投资者，在一个投资机会不变且比例交易费用较小的市场上交易，我们明确地得到了最优投资策略及其隐含福利、流动性溢价和交易量。我们将这些量确定为高水平风险厌恶的等弹性对应量的极限。结果在有限水平上是稳健的，并推广到多个不相关的风险资产。在此背景下，我们研究了一个Stackelberg均衡，由风险中性的垄断做市商引导，该做市商将价差设置为利润最大化。由此产生的内生利差仅取决于投资机会，对于现实参数值而言，利差约为几个百分点。
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英文标题：
《Long Horizons, High Risk Aversion, and Endogeneous Spreads》
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作者：
Paolo Guasoni, Johannes Muhle-Karbe
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied welfare, liquidity premium, and trading volume. We identify these quantities as the limits of their isoelastic counterparts for high levels of risk aversion. The results are robust with respect to finite horizons, and extend to multiple uncorrelated risky assets.   In this setting, we study a Stackelberg equilibrium, led by a risk-neutral, monopolistic market maker who sets the spread as to maximize profits. The resulting endogenous spread depends on investment opportunities only, and is of the order of a few percentage points for realistic parameter values.
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PDF链接：
https://arxiv.org/pdf/1110.1214