开放式基金巨额赎回情况下预留现金比例的确定方法  

A Method of Determining Cash Reserve Proportion of Open-end Funds in Quantity of Large Redemption

作　　者：程巍[1] 王金玉[2] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院 [2]沈阳航空工业学院,沈阳110034

出　　处：《数理统计与管理》2005年第3期100-103,共4页Journal of Applied Statistics and Management

基　　金：辽宁省自然科学基金 002012资助

摘　　要：巨额赎回是造成开放式基金流动性风险的主要原因。当发生“挤赎”现象时,就要求基金管理人要有足够的现金来满足投资者的赎回要求。本文就开放式基金的现金预留比例问题建立了模型,在赎回量服从GAMMA分布的情况下,得出不同概率条件下的最优现金预留比例,从而为基金管理人规避这种由巨额赎回引起的流动性风险提供了一种理论依据。Quantity of large redemption is the main reason causing liquidity risk.Open-end funds supply redemption for investors,that means manager reserve cash meeting the needs of quantity of large redemption.In this paper,we set up a model on cash reserve proportion.The Gamma distribution should be used in redemption.We get cash reserve proportion in different probability, and then supplying a method of keeping away liquidity risk for manager of Open-end funds reasonably.

关 键 词：开放式基金 巨额赎回 预留现金比例 复合泊松分布 GAMMA分布 

分 类 号：O212[理学—概率论与数理统计] F830.91[理学—数学]