Net inflow of funds is important information that investors are concerned about,and it is also a major factor that investors consider when selecting stocks.Order flow is the main indicator measuring net inflow of funds.It has rich information content,and contains investors＇ trading information.From investors＇ expected utility maximization,this paper introduces order flow into the portfolio model.According to order impact coefficient to determine portfolio weight,this paper constructs the securities investment optimal portfolio model under order flow impact.The empirical results show that optimal portfolio model of securities investment under order flow impact can obtain better yield on investment.
Order FlowOptimal Portfolio ModelExpected UtilityYield on Investment
NETL
NSTL
万方数据
维普
