一类开放式基金流动性风险的估计  

Estimation for one kind of liquidity risk of open-end funds

作　　者：王金玉[1] 程巍[2] 潘德惠[2] 汪温泉 

机构地区：[1]沈阳航空工业学院,辽宁沈阳110034 [2]东北大学工商管理学院 [3]广东证券股份有限公司,广东广州510120

出　　处：《系统工程学报》2005年第5期540-543,共4页Journal of Systems Engineering

基　　金：沈阳航空工业学院博士启动基金资助项目(05YB09)

摘　　要：开放式基金的流动性风险估计问题对基金管理者来说是一个至关重要的问题.从开放式基金的预留现金和基金的初始募集量与基金管理人经营能力的关系角度出发,分析了开放式基金的流动性问题;并运用了停时和鞅理论进行了研究.得出了结论:开放式基金的初始募集量越大,应付投资者赎回能力越强,即规避风险的能力越强;而且,基金的初始库存水平与基金的经营管理能力成正比.The estimation for liquidity risk of open-end funds is a key problem for the fund managers. The paper studies the problem of liquidity risk of open-end funds based on the relations of cash reserve, amount of collecting in the beginning and investment ability of managers for open-end securities by using the stopping time and martingale theory. It shows that the larger the fund amount of collecting in the beginning is, the stronger the ability of meeting the needs of redemption of investors is, i.e., the stronger the ability of avoiding risk is. It also shows that the amount of inventory for open-end funds cash reserve is in proportion to the investment ability of manager for open-end securities.

关 键 词：开放式基金 流动性 赎回 停时 鞅 

分 类 号：F830.9[经济管理—金融学]