基于BSDE的开放式基金赎回风险控制模型.pdfVIP

第 24卷第 4期 系 统 工 程 学 报 Vol. 24 No. 4 2009年 8月 JOURNAL OF SYSTEMS ENG INEERING Aug. 2009 doi: 10. 39 9/j. issn. 1000- 5781. 2009. 04. 01 ¹ BSDE 任 达, 张海峰 (天津大学管理学院, 天津 300072) : 目前我国开放式基金发展迅速, 并已经成为基金业发展的重心, 但与此同时却经常面临 大规模的赎 回问题. 通过借鉴国内外经验, 针对开放式基金本身的管理和运作特点, 综合运用系统工程、倒向随机微分方 程( BSDE )的方法, 以更好地配备投资组合为目标, 来解决开放式基金的现金预留比例问题, 从而为基金管理 人规避这种由巨额赎回引起的波动性风险提供了又一种方法. 最后, 用现实中的数据进行了具体的算例分析. : 开放式基金; 巨额赎回; 倒向随 微分方程; 预留现金比例 : F 830 : A : 1000- 5781( 2009) 04- 0484- 05 R edemption r isk controlling m odel of op en2end funds based on BSDE REN Da, ZHANG Hai2feng ( School ofManagement, Tianjin University, Tianjin 300072, China) Abstr act: Open2end funds develop rapidly at present in China, and have been the keystone of all k inds of funds, but usually they confrontswith the large redemption from investors. This paper, tak2 ing foreign and domestic experience into consideration and by the means of the approach of system engineering, applies the backward stochastic differential equation ( BSDE) to settling the cash re2 serve proportion problem for the purpose ofoptmi ization of the asset portfolio, and then provides the manager of open2end fundswith amethod of keeping away liqu idity risk reasonab ly. Finally, some real data are used to do an illustration on the basis ofBSDE model. K e words: open2end funds; large redemption; BSDE; cash reserve proportion [ 1] 0