在流动性冲击下开放式基金最优变现策略  

Optimal Liquidation Strategy of the Open-end Fund under the Impact of the Liquidity

作　　者：黄飞[1] 

机构地区：[1]丽水学院数理学院,浙江丽水323000

出　　处：《丽水学院学报》2008年第2期18-21,共4页Journal of Lishui University

摘　　要：假设股票价格服从几何Brown运动,且受波动和交易策略两方面的影响,在假设永久性冲击函数、临时性冲击函数都为线性函数下,建立最优变现策略随机数学模型,并求得最优策略,为开放式基金管理者在制定最优变现策略时提供决策依据。In this paper, the author assumes that the stock＇s price follows the Geometry Brown motion and is influenced by volatility and trade strategy. Under the assumption that both permanent impact and temporary impact are linear functions, the random maths optimal liquidation model is established, and optimal liquidation strategy is obtained,which would be helpful for the Open-ends fund＇s governor to make liquidation strategy.

关 键 词：最优变现策略 开放式基金 永久冲击 临时性冲击 

分 类 号：F224.0[经济管理—国民经济]