利益冲突下的开放式基金流动性资产运作研究

根据基金配置流动性资产的特点和流动性赎回的过程引入交错更新过程，并分别从基金经理与投资者角度出发建立了相应的模型，得出了考虑两者利益冲突下的开放式基金最优流动性资产（现金、债券和股票）配置．结果表明，外部因素变化时，基金经理与投资者不同的利益要求最优资产配置作不同甚至相反的变化；为了平衡两者的利益冲突，基金应选择收益率较高、流动性成本偏低的股票以及收益率偏低、流动性成本很低的债券进行投资，同时逐渐降低管理费率．

Study on operation of liquidity assets of open-end funds under interest conflicts

Based on the feature of assets allocation and the liquidity redemption process, this paper introduces an alternating renewal process and sets up models from the view points of fund managers and investors respectively, and finds the optimal assets allocations, including cash, bonds and stocks, under their interest conflicts. Results show that different angles from both sides, i.e., fund managers and investors, will result in different, even opposite, changes of optimal assets allocation when the external factors are changed. To balance the interest conflict of the both sides, funds should choose the stocks of relatively high yields and low liquidity cost, and the bonds of relatively low yields and very low liquidity cost, and it is necessary to decrease the management fee rate gradually.