开放式证券投资基金流动性风险预测和控制的一种方法  

A Method To forecast and Control Liquidity Risk of Open-End Securities Investment Funds

作　　者：赵强[1] 汪温泉[2] 

机构地区：[1]沈阳工业学院经贸管理分院 [2]东北大学

出　　处：《沈阳工业学院学报》2004年第1期1-3,共3页Journal of Shenyang Institute of Technology

摘　　要：投资者的流动性是影响开放式证券投资基金业绩的重要因素,流动性风险也是开放式基金管理过程中的主要风险之一.本文通过对投资者的随机流动性分析,利用停时和鞅的定义及性质给出了一个预测和控制开放式证券投资基金流动性风险的方法,为开放式基金管理者提供了一个决策依据.The liquidity of investors is a great influence on the performance of open-end securities investment funds, liquidity risk is also one of the major risk in open-end funds management. In this paper, based on the analysis of investor random liquidity, a method is presented to forecast and control the liquidity risk of open-end securities investment funds using the definition and property of stopping time and martingale, and a basis is offered for the manager of open-end securities investment funds to make decisions.

关 键 词：开放式证券 流动性 开放式基金 停时 鞅 风险预测 风险控制 

分 类 号：F830.91[经济管理—金融学] F830.59