英文标题：
《Dynamic portfolio optimization with liquidity cost and market impact: a
  simulation-and-regression approach》
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作者：
Rongju Zhang, Nicolas Langren\\\'e, Yu Tian, Zili Zhu, Fima Klebaner,
  Kais Hamza
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最新提交年份：
2019
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英文摘要：
  We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo algorithm to incorporate switching costs, corresponding to transaction costs and transient liquidity costs, as well as multiple endogenous state variables, namely the portfolio value and the asset prices subject to permanent market impacts. To do so, we improve the accuracy of the control randomization approach in the case of discrete controls, and propose a global iteration procedure to further improve the allocation estimates. We validate our numerical method by solving a realistic cash-and-stock portfolio with a power-law liquidity model. We quantify the certainty equivalent losses associated with ignoring liquidity effects, and illustrate how our dynamic allocation protects the investor\'s capital under illiquid market conditions. Lastly, we analyze, under different liquidity conditions, the sensitivities of certainty equivalent returns and optimal allocations with respect to trading volume, stock price volatility, initial investment amount, risk-aversion level and investment horizon.
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中文摘要：
我们提出了一种模拟和回归方法来解决一般交易成本、流动性成本和市场影响下的动态投资组合分配问题。该方法扩展了经典的最小二乘蒙特卡罗算法，将转换成本（对应于交易成本和瞬时流动性成本）以及多个内生状态变量（即受永久市场影响的投资组合价值和资产价格）纳入其中。为此，我们改进了离散控制情况下控制随机化方法的准确性，并提出了一种全局迭代程序来进一步改进分配估计。通过用幂律流动性模型求解现实的现金和股票组合，验证了我们的数值方法。我们量化了与忽略流动性效应相关的确定性等价损失，并说明了我们的动态配置如何在非流动性市场条件下保护投资者的资本。最后，我们分析了在不同的流动性条件下，确定性等价收益和最优配置对交易量、股价波动、初始投资金额、风险规避水平和投资期限的敏感性。
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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：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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