Earticle

초록

영어

We find robust portfolio rules for ambiguity-aversive fund managers in a financial market with transaction costs. The model proposed in this paper permit liquidity premium much bigger than those found by most empirical literature. Using reasonably-calibrated parameters, we find liquidity premium obtained from the model is much bigger, so transaction costs can have a significant effect on investors’ optimal investment behaviors. We also show that a high ambiguity aversion could be an explanation for a puzzling feature during economic crises that liquidity was greatly reduced in the financial market. Our model shows that a fund manager with a higher ambiguity aversion requires much bigger liquidity premium at times of down markets than at times of up markets.

목차

Abstract
 1 Introduction
 2 The Basic Model
  2.1 The Financial Market
  2.2 The Robust Portfolio Problem without Transaction Costs
  2.3 The Robust Portfolio Problem with Transaction Costs
 3 Analytical Comparative Statics
 4 Implications
  4.1 Baseline Parameters
  4.2 Optimal Trading Strategies
  4.3 Liquidity Premium
  4.4 Liquidity Crash in the Global Crisis and Ambiguity Aversion
 5 Conclusion
 6 Appendix
 References

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Republic of Korea, ]
• Seungkyu Lee [ Department of Industrial and Management Engineering, POSTECH, Republic of Korea, ]
• Seyoung Park [ Department of Industrial and Management Engineering, POSTECH, Republic of Korea, ]

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표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330