A Simple Model of Liquidity Effects
作者： L.-C.-G. Rogers , Omar Zane
DOI: 10.1007/978-3-662-04790-3_9
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摘要: We consider here an agent who may invest in a riskless bank account and share, but only move money between the two assets at times of Poisson process. This models simplified way liquidity constraints faced real world. The is trying to maximise expected discounted utility consumption, where CRRA; this objective classical Merton problem. Unlike that problem, there no closed-form solution for situation we analyse, certain qualitative features can be established; should consume rate which product wealth some function proportion risky asset, process readjust his portfolio so as leave fixed asset. establish asymptotic expansion slightly different formulations allows us deduce ‘cost liquidity’ (to first order) inversely proportional intensity
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