基于BSDE的开放式基金赎回风险控制模型  

Redemption risk controlling model of open-end funds based on BSDE

作　　者：任达[1] 张海峰[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程学报》2009年第4期484-488,共5页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70573077)

摘　　要：目前我国开放式基金发展迅速,并已经成为基金业发展的重心,但与此同时却经常面临着大规模的赎回问题.通过借鉴国内外经验,针对开放式基金本身的管理和运作特点,综合运用系统工程、倒向随机微分方程(BSDE)的方法,以更好地配备投资组合为目标,来解决开放式基金的现金预留比例问题,从而为基金管理人规避这种由巨额赎回引起的波动性风险提供了又一种方法.最后,用现实中的数据进行了具体的算例分析.Open-end funds develop rapidly at present in China, and have been the keystone of all kinds of funds, but usually they confronts with the large redemption from investors. This paper, taking foreign and domestic experience into consideration and by the means of the approach of system engineering, applies the backward stochastic differential equation （BSDE） to settling the cash reserve proportion problem for the purpose of optimization of the asset portfolio, and then provides the manager of open-end funds with a method of keeping away liquidity risk reasonably. Finally, some real data are used to do an illustration on the basis of BSDE model.

关 键 词：开放式基金 巨额赎回 倒向随机微分方程 预留现金比例 

分 类 号：F830[经济管理—金融学]