The Pricing of Illiquid Assets in a Dynamic Incomplete Market
基于中国当前制度，回顾了流动性限制对资产定价的影响，在动态不完全市场中建立了非流动性资产定价模型和最优投资组合策略，证明非流动性资产从根本上影响最优投资组合策略，且非流动性折价受流动性限制时间、非流动性资产收益波动率等参数显著影响。
Liquidity has a significant impact on the asset yields.The quality of liquidity is the issue in a com- plete market and the asset liquidity is the issue in an incomplete market.But classical financial economy mainly studies asset pricing and optimal portfolio strategy in the complete market,This paper,based on the Chinese current system,reviews the affection of liquidity restrictions oh asset pricing,and establishes illiquid assets pri- cing model and optimal portfolio strategy in the dynamic incomplete market,which proves that illiquid assets radically affect the optimal portfolio strategy.The illiquidity discount is influenced significantly by many param- eters such as the time periods of liquidity restriction,volatility of illiquid asset returns,and so on.