PORTFOLIO LIQUIDITY MANAGEMENT WITH EXPECTED SHORTFALL CONSTRAINT

Abstract In a standard approach to portfolio valuation, it is assumed that market is perfectly liquid, so assets in the portfolio have unique prices. In reality, however, this does not seem to be true. Liquidity deterioration in the market may have an impact on the asset values. Also, the liquidity policy, which the portfolio is restricted by, can influence on its value. In this paper, we describe and analyze the relationship between the portfolio value and the liquidity policy. When quantifying the portfolio value, coherent portfolio risk measure (CPRM) is employed. In the portfolio valuation model, the Power-Law marginal supply-demand curve (MSDC) is used to deal with the different level of liquidity of the constituents. The portfolio value is assessed based on the liquidity constraints includes capital requirement, minimum weight and portfolio Expected Shortfall (ES) value. These restrictions affect, to a varying degree, the liquidation of illiquid and high volatility assets. We found that as liquidity policy becomes stricter with the portfolio ES constraint, the liquidation cost increases significantly. Also, the liquidation cost increased according to the portfolio ES liquidity policy is particularly pronounced as the size of the portfolio become larger and the trade duration becomes shorter.摘要 在经典的投资组合估值范式中，学界通常假设市场具备完美流动性，即投资组合内的各项资产均存在唯一公允价格。但在实际市场环境中，该假设往往难以成立。市场流动性收缩将对资产价值造成直接冲击，同时投资组合需遵循的流动性政策约束，同样会对其自身价值产生影响。本文旨在阐述并分析投资组合价值与流动性政策之间的内在关联。在量化投资组合价值的过程中，本文采用了一致性投资组合风险测度（Coherent Portfolio Risk Measure, CPRM）；在本次提出的投资组合估值模型中，我们使用幂律边际供需曲线（Power-Law Marginal Supply-Demand Curve, MSDC）来处理不同成分资产的流动性差异。本次研究基于若干流动性约束条件对投资组合价值进行评估，这些约束涵盖资本要求、最低持仓权重以及投资组合期望短缺（Expected Shortfall, ES）值。上述约束会在不同程度上影响非流动性资产与高波动资产的清算流程。研究结果表明，当基于投资组合ES约束的流动性政策趋严时，资产清算成本将显著上升。此外，当投资组合规模扩大、交易时长缩短时，遵循投资组合ES流动性政策所带来的清算成本增幅将尤为显著。