CAJ | 학술논문

假定股票和期货服从算术布朗运动，投资者效用为均值—方差形式，价格冲击为线性，在连续时间框架下，求解单只股票与股指期货套期保值不完全变现的同步出清问题，得到出清轨迹。参数分析表明：当风险厌恶程度较大、组合标准差越大时，投资者倾向于在出清初期出清较大规模的头寸，以降低后期的风险；当ρ＜0，随套期保值比的增加，投资者更倾向于快速的出清过程，当ρ＞0则相反；在给定套期保值比的情况下，出清速率与相关系数呈反向变化。不完全变现比完全变现的出清轨迹更向下凸，而且可能会出现提前完成出清的情况发生。
가정고표화기화복종산술포랑운동，투자자효용위균치—방차형식，개격충격위선성，재련속시간광가하，구해단지고표여고지기화투기보치불완전변현적동보출청문제，득도출청궤적。삼수분석표명：당풍험염악정도교대、조합표준차월대시，투자자경향우재출청초기출청교대규모적두촌，이강저후기적풍험；당ρ＜0，수투기보치비적증가，투자자경경향우쾌속적출청과정，당ρ＞0칙상반；재급정투기보치비적정황하，출청속솔여상관계수정반향변화。불완전변현비완전변현적출청궤적경향하철，이차가능회출현제전완성출청적정황발생。
The continuous liquidation trajectory of the single hedged stock is derived under the arithmetic Brownian movements,mean-variance utility,and linear market impact. The parameters analysis shows that the investors are like to liquidate quickly if they are more risk averse or the portfolio ’s variance is larger;if the correlation coefficient is negative,they want to execute more quickly and vice versa;the liquidation velocity changes are opposite to that of the correlation coefficient under the given hedging ratio. The partial liquida-tion’s trajectory is more convex than the full liquidation’s. Sometimes,the investors would over liquidate firstly and then recover the position.