Study On Optimal Asset Portfolio Considering Liquidity Risk Under CVaR Risk Control

Liquidity risk is a common financial risk.Although modern portfolio theory has solved the problem of calculating optimal asset portfolios,it does not consider the impact of liquidity risk on asset returns.This thesis introduces liquidity risk into the optimal asset portfolio model under CVaR risk control,establishes three types of optimal asset portfolio models considering liquidity risk under CVaR risk control,and conducts an empirical analysis using the top six stocks in terms of market capitalisation as samples:This thesis firstly reviews the current research status of portfolio theory and risk measurement theory at home and abroad,then introduces common liquidity indicators and liquidity risk indicators,and establishes a BDSS model considering endogenous liquidity risk.Subsequently,an optimal asset portfolio model considering liquidity risk under 3 types of CVaR risk control is established.The models consider liquidity risk in the constraints,the objective function and both the constraints and the objective function respectively: the first type of model introduces constraints on liquidity;the second type of model uses the BDSS indicator that considers endogenous liquidity risk as a risk indicator;the third type of model considers the impact of trading on prices and uses liquidity-adjusted returns to calculate the return and risk of the portfolio.Finally,the thesis presents an empirical analysis,which shows that liquidity constraints are more effective when expected returns are low,and that diversification and appropriate multiple realisations can reduce the liquidity risk of a portfolio.The results of the study have certain guiding implications for actual investment.