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中文摘要：
研究机构投资者大额头寸的最优清算策略．通过对市场冲击成本和价格波动风险的权衡，获得了变现期VaR框架下的最优清算策略．理论分析表明：最优清算策略是总头寸、交易间隔、冲击系数和波动率的函数．在估计出中国股票市场冲击系数之后，对理论分析结果进行了实证测算和蒙特卡罗模拟检验．模拟结果表明实证估计得到的清算策略是最优（或近似最优）．
英文摘要：
The optimal liquidation strategies for large security positions in Chinese stock market are studied in this paper. Balancing the exposure to the price variance against the market impact, we obtain the optimal liquidation strategies under the VaR framework. The theory indicates that the optimal liquidation strategies depend on the positions, trade interval, market impact coefficient and stock volatility. After estimating the stock impact coefficient, empirical research and Monte Carlo simulation are used to verify the theory. And the results of the simulation shows these strategies are truly optimal （or approximately optimal） .
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