开放式证券投资基金管理的最优策略  

Optimal Policy for the Management of Open-end Securities Investment Funds

作　　者：汪温泉[1] 王金玉[2] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004 [2]东北大学理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2003年第11期1104-1107,共4页Journal of Northeastern University(Natural Science)

基　　金：辽宁省自然科学基金资助项目(002012).

摘　　要：根据随机过程理论和序贯决策原理,研究了开放式证券投资基金管理策略·从基金管理者的角度出发,分析了基金投资能力和基金资产流动性对基金业绩的影响,给出了一种确定基金管理最优策略的方法,所得结果为基金管理者管理基金提供了决策依据·最后给出了一个仿真算例,计算结果表明提高基金投资能力虽然在一定程度上能够改善基金经营状况,但由于其中的费用影响,并不能有效地提高基金的净收益,而加强基金资产流动性的管理能够获得更好的效果·结论又一次体现了基金资产流动性管理在开放式基金管理中的重要作用·Based on the theory of stochastic process and principle of sequential decision, some studies were made about management policy of openend portfolio investment funds. From the point of view of fund managers, the influences of investment capability and assets liquidity on the performance of funds were analyzed, with a method proposed to ascertain the optimal policy for fund management. The results provide a basis on which the fund managers are available to make decisions. A numerical example is given to illustrate how to use the proposed method, of which the results show that although enhancing the investment capability can improve the operation of funds to a certain extent, it can not improve the net profit of funds effectively. However, more benefits were available if improving the liquidity management of the assets of openend funds. The conclusion shows the importance of the liquidity management of openend securities investment funds.

关 键 词：开放式基金 证券投资能力 流动性 序贯决策 各态历经性 最优化 

分 类 号：F830.9[经济管理—金融学]