开放式基金流动性管理的数理模型研究

Mathematical Models Study on the Liquidity Management of Open-End Funds

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.

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, hut 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.