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A likviditás és a permanens árhatás szerepe a portfólióértékelésben
[The role of liquidity policy and permanent price impact in portfolio valuation]

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  • Hevér, Judit

Abstract

Acerbi-Scandolo [2008] likviditási szabályok mellett határozza meg a portfóliók értékét. E portfólióérték - mint a likviditási kockázat mérésének eszköze - kiemelt jelentőségű az intézményi befektetők számára. Ugyanakkor a meghatározó piaci erejű szereplők portfólióallokációról szóló döntéseikben saját kereskedésük árhatása fontos szerepet játszik (Almgren-Chriss [2000]). Az intézményi befektetők speciális problémájának pontosabb kezeléséhez a permanens árhatás bevezetésével szeretnénk módosítani a likviditási szabályok melletti portfólióértéket. Az így definiált port fólió ér té ket használhatnánk kockázati mértékek számszerűsítésekor, tőkekövetelmények meghatározásakor, illetve portfóliókezelők teljesítményének vizsgálata során.* Journal of Economic Literature (JEL) kód: G11.

Suggested Citation

  • Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    • Handle: RePEc:ksa:szemle:1702
    DOI: 10.18414/KSZ.2017.6.594
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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