摘要
提出了开放式基金的巨额赎回量和大额赎回量的概念,将复合泊阿松分布和截尾分布理论运用在大额赎回量概率计算之中,得到了计算公式。由于开放式基金流动性风险主要来自于大额赎回量,因此使用截尾分布方法预测未来近期的大额赎回量更合适。推导出了正态分布下大额赎回量的期望和方差计算公式。为基金管理人合理规避这种流动性风险提供了一种预测方法。
The conceptions of great amounts of redemption （GAR） and large amounts of redemption （LAR） for open-end funds are propesed. The formula of LAR probabilities is obtained by using the theory of compound Poiseon distribution and truncation distribution .Because the liquidity risk of open-end funds is mainly from large amounts of redemption , it is more appropriate to predict the large amounts of redemption by using truncation distribution method. The expectation and variance of LAR formula is given by inference under normal distribution. In conclusion, a new reasonable way to keep away from the liquidity risk is provided to the fund management.
出处
《南方经济》
北大核心
2006年第2期47-53,共7页
South China Journal of Economics
基金
沈阳航空工业学院博士基金资助。
关键词
开放式基金
流动性风险
大额赎回量
复合泊阿松分布
截尾分布
open-end funds
liquidity risk
large amounts of redemption （LAR）
compound Poisson distribution
truncation distribution
