摘要：Following the crisis that surrounded the downfall of long-term capital management (LTCM) in 1998, Myron Scholes raised an important and timeless problem: how should an investment manager liquidate a portfolio when competitors in the market trade to profit from one’s misfortune? Specifically, he stated: In an unfolding crisis, most market participants respond by liquidating their most liquid investments first to reduce exposures and reduce leverage. . . . However, after the liquidation, the remaining portfolio is most likely unhedged and more illiquid. Without new inflows of liquidity, the portfolio becomes even more costly to unwind and manage.
