摘要
从基金管理者的角度出发,引入了一种开放式基金预留现金比例管理模型,它可以使满足及时赎回需求概率很大且预留现金最少.给出了模型中各随机变量的分布及分布中各参数的估计,使用统计方法得到了最优预留现金比例的动态计算公式.通过数值实例分析了预留比例公式的合理性,为基金管理人制定投资目标时随时控制预留现金的比例,提供一个参考的标准.
We develop a management model with cash reserve proportion for open-end funds. It is shown that the model can maximize the probobility of meeting the needs of redemption and minimize the cash reserve in advance.The distributions of random variables and the estimations of parameters in the model are given.The optimum cash reserve proportion formula for open-end funds is obtained by using a statistical method. This formula is applied to obtaining dynamic cash reserve proportion. The effectiveness of formula is investigated through a numerical example.The result provides fund managers with a valuable reference to work out the plan of investment to control the proportion of cash reserve in advance.
出处
《系统工程学报》
CSCD
2004年第3期290-293,311,共5页
Journal of Systems Engineering
基金
国家重点科技攻关资助项目(97-562-03-01).
关键词
开放式基金
证券投资能力
流动性
预留现金比例
复合泊松分布
open-end funds
capability of securities investment
liquidity
proportion of cash reserve in advance
compound Poisson distribution
