مدیریت اهرم در بازار سوئیچینگ گاوی و خرسی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|52795||2012||15 صفحه PDF||سفارش دهید||8253 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Economic Dynamics and Control, Volume 36, Issue 10, October 2012, Pages 1585–1599
Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time dependent investment strategy in a “bull” market and a “bear” market. We show that when the market switches from the “bull” market to the “bear” market, complete deleveraging, reducing the degree of leverage, or keeping leverage unchanged may all be optimal strategies, subject to underlying market conditions. We further show that the investor may optimally keep leverage unchanged in the “bear” market, particularly so for illiquid asset. On the other hand, a lower borrowing cost in the “bear” market would prevent sell offs.