Portfolio Choice with Market Closure and Implications for Liquidity Premia
研究了市场关闭和交易期与非交易期波动率差异如何改变最优交易策略，并数值证明交易成本对流动性溢价有一阶效应，该效应随波动率差异增大而增强。
Most existing portfolio choice models ignore the prevalent periodic market closure and the fact that market volatility is significantly higher during trading periods. We find that market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, we demonstrate numerically that transaction costs can have a first-order effect on liquidity premia that is largely comparable to empirical findings. Moreover, this effect on liquidity premia increases in the volatility difference, which is supported by our empirical analysis. This paper was accepted by Jerome Detemple, finance.