创新型封闭式基金风险特征变化研究——基于高阶期望损失风险测度  

Risk Analysis of Reformed Closed-End Funds Based on High Degree Expected Shortfall

作　　者：王勇茂[1,2] 徐成贤[1,2] 曹培慎[3] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061 [2]西安交通大学理学院,陕西西安710049 [3]陕西师范大学国际商学院,陕西西安710062

出　　处：《财贸研究》2009年第1期102-106,共5页Finance and Trade Research

基　　金：国家自然科学基金项目"大规模最大割问题的连续化近似算法及推广"(项目批准号:10671152)

摘　　要：在分析当前封闭式基金创新特点的基础上,运用满足一致性公理的高阶期望损失风险测度对创新型封闭式基金的风险特征进行度量,并与传统封闭式基金进行实例对比,结果发现创新型封闭式基金的波动风险明显低于传统封闭式基金,其间存在广义随机占优关系,这说明封闭式基金的创新方案确实改变了其风险特征,有助于解决折价率过高问题。The development of closed-end funds in China has entered the stage of innovation, a high degree expected shortfall method is used to measure the risk of reformed funds on the basis of characteristics analysis of innovation. By comparing the result with that of existing old funds, this paper finds out that the fluctuation risk of reformed funds is lower than the older ones, which indicates that the reform program has achieved the intended results, and this will help to solve the problems of excessive discount rate of closedend funds. Finally, suggestions are put forward for the further innovations.

关 键 词：封闭式基金 随机占优 期望损失 

分 类 号：F830.59[经济管理—金融学]