中文摘要：

通过设计最优清算策略过程研究了流动性风险溢价测算问题.在市场流动性不足的情况下,投资者大头寸的交易会对市场价格造成冲击,理性的投资者会采取逐步清算的方法,通过制定最优清算策略获取最大效用,根据无套利原则,流动性风险溢价应使投资者能获得与完美流动性情况相同的最大效用.研究表明,随着投资者持有期增加,投资者要求的流动性风险溢价减少,但随着持有期持续增加,流动性风险溢价基本维持在一定的水平不再显著减少.

英文摘要：

A practical framework for the quantification of liquidity premium is proposed by designing an optimal liquidation strategy. That is, in a thin market, considering the market impact caused by the investors＂ own dealings, a rational investor adopts such optimal strategy as liquidating his position by steps to maximize his utility, which is different from the strategy under perfect liquidity market. According to the no-arbitrage principle, the hquidity premium can be calculated if the market is unbiased. It is found that it decreases with the increasement of the investment horizon, hut the premium remains persistent while continuing to increase the horizon.