The Research Toward Optimal Liquidation Strategy Of The Open-ended Fund Under Liquidity Impact

Nowadays, global Open-ended fund market takes on a new look andbecomes more mature and prosperous as time goes by. The property ofOpen-ended funds determines its particular liquidity risk. This thesisfocuses on Optimal Liquidation strategy, which is defined that minimizeexpected cost for a given volatility risk.The paper has four chapters. First, introduce the development of theliquidation theory, and analysis the achievement of researchingliquidation strategy. Second, under the supposition that the stock's pricefollows the Geometry Brown motion, which evolves according to twoinfluences: volatility and market, the random mathematic optimalliquidation model is established and optimal liquidation strategy isobtained. Third, I research the liquidation model with two correlationstocks, which considers the correlation influences on the stock's price,and one stock's transaction influences on the other stock. Except that, Iresearch the influences of related coefficient on liquidation strategy, andobtain some conclusions: rapid transaction under having positivecorrelation and slow transaction under having negative correlation.Finally, I research the liquidation model with lots of correlation stocks,under the supposition that the stock's price follows the arithmetic Brownmotion, and one stock's transaction has no influences on another stock'sprice. In order to validate the model, the paper constructs some numericalproblem to research relation between liquidation and relativity, anddiscover the buy-in and sell-short.This paper provides a comprehensive valuation framework ofLiquidation strategy and discusses the Portfolio Transaction. Its opens thetrain of thoughts on further researches and provides references for bothmanagers and investors.