赎回风险约束的开放式基金管理费研究  

Study on Management Fees of Opened Fund with a Redemption Risk Constraint

作　　者：张茂军[1] 王文华[1] 南江霞[1] 

机构地区：[1]桂林电子科技大学数学与计算科学学院,广西桂林541004

出　　处：《经济数学》2014年第1期35-40,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(71001015;71101033);广西自然科学基金资助项目(2012GXNSFAA053013;201106LX162);上海市博士后基金资助项目(13R21414700);中国博士后基金资助项目(2013M540372)

摘　　要：从赎回风险的视角研究开放式基金的管理费.以赎回风险为内生变量构建了基金管理人的动态投资决策模型,利用动态优化的Bellman原理得到了最优管理费.进一步分析发现:一是基金管理费与基金管理人的投资能力正相关,即基金管理人的投资能力越强,收取的基金管理费越多;二是基金管理费与投资者的赎回率负相关,即投资者的赎回率越大,基金管理费越少.而且选取中国股票型开放式基金的数据构建VAR计量经济模型,检验基金管理人的投资能力与投资者的赎回风险对基金管理费的影响,实证结果支持理论模型的结论.The management fee of the opened fund was researched from the view of its redemption risk. A dynamical in- vestment decision model of the fund managers was developed, and the optimal management fee was obtained via the Bellman＇s principle of the dynamical optimization. The following conclusions were obtained： first, there is a positive relationship between the management fees of the opened fund and the investment ability of the fund managers, that is, the stronger their investment abilities are, the more management fees the fund managers can get~ second, there is a negative relationship between the man- agement fees of the opened fund and the investors~ ~edemption rates, namely, the larger their redemption rates are, the less management fees the fund managers can get. Moreover, the data of stock opened fund in China^s market were selected to setup a VAR econometric model in order to test the impact of both the abilities of the fund manager and the redemption risk of the in- vestors on the management fees, and it is found that the empirical results agree with the conclusions of theoretical models.

关 键 词：开放式基金 管理费 赎回风险 动态优化 

分 类 号：F832[经济管理—金融学]