Liquidity premium in the presence of stock market crises and background risk
研究了长期投资者在股市危机（价格暴跌、波动加剧、流动性恶化）下的投资组合问题，发现危机导致显著的流动性溢价，而背景风险会降低该溢价。
We analyse a portfolio optimization problem for a long-term investor in the presence of stock market crises. A crisis includes a crash of the stock market price, a sharp increase of its volatility and dramatic deterioration of liquidity. We model the stock market illiquidity by means of convex transaction costs that mimic the presence of an effective bid-ask spread that increases with the size of a trade. We find that the existence of stock market crises results in a significant liquidity premium. Furthermore, the presence of background risk has a negative impact on the liquidity premium.