Optimal liquidation strategies

Simple item page
dc.contributor.advisorMaritz, EJen_ZA
dc.contributor.advisorGuo, Renkuanen_ZA
dc.contributor.authorEnnis, Michaelen_ZA
dc.date.accessioned2014-10-06T11:24:17Z
dc.date.available2014-10-06T11:24:17Z
dc.date.issued2006en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractLiquidation strategies consider the problem of minimising transaction costs occurring in a portfolio liquidation. Transaction costs are the difference between current market value and the realised value after the liquidation. A strategy to follow to perform a liquidation is especially important to institutional investors due the large size of their trades. Large trades can have a significant effect on the price of a security which can impact the realised returns of the liquidation. These models solve for trading trajectories that maximise this. The models investigated do this in a mean-variance framework where the expected return of the strategy is constrained by its variance and the investors risk preference. Parameters used in liquidity functions are estimated for securities on the South African JSE Securities Exchange. The effects of security liquidity, volatility, stock correlation and length of liquidation horizon on the optimal strategy are investigated. There is little or no existing literature that attempts to model these functions in the South African market. Due to the smaller size of the South African market as well as the number of thinly traded shares compared to most markets studied in the literature, many securities are highly illiquid. We investigate relationships between firm size and daily traded value and these liquidity parameters. General rules are presented to help traders improve a liquidation strategy without the need to estimate all parameters needed to calculate an optimal strategy using one of these models.en_ZA
dc.identifier.apacitationEnnis, M. (2006). <i>Optimal liquidation strategies</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/8119en_ZA
dc.identifier.chicagocitationEnnis, Michael. <i>"Optimal liquidation strategies."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2006. http://hdl.handle.net/11427/8119en_ZA
dc.identifier.citationEnnis, M. 2006. Optimal liquidation strategies. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Ennis, Michael AB - Liquidation strategies consider the problem of minimising transaction costs occurring in a portfolio liquidation. Transaction costs are the difference between current market value and the realised value after the liquidation. A strategy to follow to perform a liquidation is especially important to institutional investors due the large size of their trades. Large trades can have a significant effect on the price of a security which can impact the realised returns of the liquidation. These models solve for trading trajectories that maximise this. The models investigated do this in a mean-variance framework where the expected return of the strategy is constrained by its variance and the investors risk preference. Parameters used in liquidity functions are estimated for securities on the South African JSE Securities Exchange. The effects of security liquidity, volatility, stock correlation and length of liquidation horizon on the optimal strategy are investigated. There is little or no existing literature that attempts to model these functions in the South African market. Due to the smaller size of the South African market as well as the number of thinly traded shares compared to most markets studied in the literature, many securities are highly illiquid. We investigate relationships between firm size and daily traded value and these liquidity parameters. General rules are presented to help traders improve a liquidation strategy without the need to estimate all parameters needed to calculate an optimal strategy using one of these models. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - Optimal liquidation strategies TI - Optimal liquidation strategies UR - http://hdl.handle.net/11427/8119 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8119
dc.identifier.vancouvercitationEnnis M. Optimal liquidation strategies. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8119en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleOptimal liquidation strategiesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_hum_2006_ennis_m (1).pdf
Size:
11.52 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters