流动性约束下机构投资者的资产配置——以保险公司为例

流动性是机构投资者资产配置必须考虑的问题之一。本文以保险公司为例,研究流动性不足对保险公司最优资产配置策略和交易策略的影响。使用遗传算法的模拟结果表明,面对流动性不足,保险公司应采取现金流匹配的交易策略以最优化其资产,即首先采用现金支付索赔;当现金资产耗尽时,在变现股票资产以尽量减少大规模销售导致的股票价格临时性和永久性波动的同时,保险公司还应多样化其资产组合,保证能够实现完全交易以减少流动性不足的影响。

Illiquidity and Asset Allocation of Institutional Investors:Taking Insurance Company As an Example

It is important for institutional investors to research the liquidity of asset allocation.This paper investigates optimal asset management strategies for property and casualty insurance companies in illiquid markets.Our analysis,based on genetic algorithm,reveals a clear diversification benefit in illiquid markets apart from the one introduced.And cash-flow matching is shown to be the optimal strategy for a large investor.Insurance companies should sell cash to satisfy with claim demand,and when cash exhaus...