| 在流动性冲击下开放式基金最优变现策略 |
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| 引用本文： | 黄飞.在流动性冲击下开放式基金最优变现策略[J].丽水学院学报,2008,30(2):18-21. |
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| 作者姓名： | 黄飞 |
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| 作者单位： | 丽水学院,数理学院,浙江,丽水,323000 |
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| 摘 要： | 假设股票价格服从几何Brown运动，且受波动和交易策略两方面的影响，在假设永久性冲击函数、临时性冲击函数都为线性函数下，建立最优变现策略随机数学模型，并求得最优策略，为开放式基金管理者在制定最优变现策略时提供决策依据。
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| 关 键 词： | 最优变现策略 开放式基金 永久冲击 临时性冲击 |
| 文章编号： | 1008-6749(2008)02-0018-04 |
| 修稿时间： | 2008年1月2日 |
Optimal Liquidation Strategy of the Open-end Fund under the Impact of the Liquidity |
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| Huang Fei.Optimal Liquidation Strategy of the Open-end Fund under the Impact of the Liquidity[J].Journal of Lishui University,2008,30(2):18-21. |
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| Authors: | Huang Fei |
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| Institution: | Huang Fei (College of Mathematics and Physiscs, Lishui University, Lishui Zhejiang 323000, China) |
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| Abstract: | In this paper,the author assumes that the stock's price follows the Geometry Brown motion and is influenced by volatility and trade strategy.Under the assumption that both permanent impact and temporary impact are linear functions,the random maths optimal liquidation model is established,and optimal liquidation strategy is obtained,which would be helpful for the Open-ends fund's governor to make liquidation strategy. |
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| Keywords: | optimal liquidation strategy open-end fund permanent impact temporary impact |
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