开放式基金规模变化的分布参数模型及优化管理  

Distributed parameter model and optimal management of scale changes of open fund

作　　者：崔海波[1] 赵希男[1] 张利兵[1] 王奇[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《系统工程学报》2004年第5期523-527,共5页Journal of Systems Engineering

基　　金：国家重大科技攻关项目(2001BA206A-4-5).

摘　　要：流动性与盈利性是开放式基金管理人面临的"两难选择";一方面,如果基金管理人为了规避流动性风险而大量持有国债和现金则会导致基金的收益率下降,这与开放式基金的盈利性相违背;另一方面,如果基金管理人为了追求盈利性而大量投资于股票、债券则会面临巨额赎回压力.文章根据开放式基金规模演变的内在规律,建立了分布参数系统模型,并提出了规避开放式基金流动性风险的优化管理方法,为开放式基金的管理人进行决策提供科学的依据.It is a dilemma for the open fund administrators to choose between liquidity and profitability. On the one hand, if fund administrators hold a vast sum of national debt and cash for evading the liquidity venture, the rate of return of the fund will descend, which disobeys the profitability of the open fund. On the other hand, if fund administrators invest a lot of money in stocks or bonds for pursuing the earnings, the redemptory pressure of enormous amounts of money will be faced with. This paper establishes a systematic model of the distributed parameter according to internal regulations of the scale changes of the open fund, and suggests a method of optimal management of liquidity risk of open fund, which can be help for the open fund administrators to make decision scientifically.

关 键 词：开放式基金 流动性风险 分布参数系统 优化管理 盈利性 

分 类 号：F830.9[经济管理—金融学]