| 开放式基金流动性管理的数理模型研究 |
| |
| 引用本文： | 郑秀田.开放式基金流动性管理的数理模型研究[J].杭州师范大学学报(自然科学版),2012(5):459-463. |
| |
| 作者姓名： | 郑秀田 |
| |
| 作者单位： | 杭州师范大学钱江学院;浙江工商大学工商管理学院 |
| |
| 基金项目： | 教育部人文社科青年基金项目(10YJC630319);教育部人文社科规划基金项目(11YJA630171);杭州师范大学钱江学院基金项目(2012QJJG11) |
| |
| 摘 要： | 通过结合库存理论和资本资产定价模型为开放式基金的最优现金储备量的确定提供了一种定量方法,同时具体分析了诸多影响最优现金储备量的因素,并得出了一些结论,如当证券市场处于牛市时,预期市场收益率越高,开放式基金为应对基金持有人的赎回而需储备的现金量越少;当证券市场处于熊市时,开放式基金需储备更多的现金以应对赎回需求.开放式基金经理可以运用该模型管理基金的流动性风险.
|
| 关 键 词： | 开放式基金 流动性管理 库存理论 资本资产定价模型 |
Mathematical Models Study on the Liquidity Management of Open-End Funds |
| |
| Authors: | ZHENG Xiu-tian |
| |
| Institution: | ZHENG Xiu-tian(1.Qianjiang College,Hangzhou Normal University,Hangzhou 310012,China; 2.School of Business Administration,Zhejiang Gongshang University,Hangzhou 310018,China) |
| |
| Abstract: | This paper provided a quantitative method determine the optimal cash reserves of open-end funds by combining inventory theory with capital asset pricing model,analyzed many factors affecting the optimal cash reserves and obtained some conclusions,for example,the higher market return rate is expected in a bull market,the fewer cash reserves is required to cope with the redemption of fund holders,but open-up funds need more cash reserves to cope with the redemption in a bear market.The manager of open-up funds can use the liquidity risk of the funds. |
| |
| Keywords: | open-end funds:liquidity management inventory theory: capital asset pricing model |
| 本文献已被 CNKI 等数据库收录！ |
|
