基于两阶段决策的封闭式基金价格控制问题研究

中国管理科学 ›› 2014, Vol. 22 ›› Issue (2): 24-31.

基于两阶段决策的封闭式基金价格控制问题研究

王良^1,2, 冯涛²

1. 西安理工大学经济管理学院, 陕西西安 710048;
2. 西安交通大学应用经济学博士后流动站, 陕西西安 710061

收稿日期:2012-05-04 修回日期:2012-12-30 出版日期:2014-02-20 发布日期:2014-02-18
基金资助:
国家自然科学基金资助项目（71171155）；陕西省教育厅科学研究计划（12JK0025）；西安理工大学高学历人员科研启动经费资助项目（107-211211）

A Study for the Control of Closed-end Fund Price Based on Two Stage Decision with the Limited Amount of Initial Investment

WANG Liang^1,2, FENG Tao²

1. School of Management, Xi'an University of Technology, Xi'an 710048, China;
2. School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061, China

Received:2012-05-04 Revised:2012-12-30 Online:2014-02-20 Published:2014-02-18

摘要/Abstract

摘要： 在给定相关假设的基础上，考虑了在某一交易时间段的初始时刻，“庄家”型封闭式基金投资者初始持有资金额度有限的状况，将“庄家”型基金投资者的基金价格控制决策分为两个阶段：第一阶段为在确定各时刻期望收益率及其收益离差的条件下求得该投资者在对应时刻的最优投资值，第二阶段以各时刻的最优投资值为约束来获得最优基金价格控制序列。对于第一阶段可建立使“庄家”型基金投资者期望收益最大、收益平均绝对离差最小（风险最小）的双目标模型，变换为一个单目标模型后利用库恩-塔克条件进行求解，从而获得各时刻的最优投资值；对于第二阶段则以第一阶段得到的各时刻最优投资值为约束，以“庄家”型基金投资者在该交易时间段内的现金支付为极小值（现金收益的极大值）建立目标函数，而其为一个带约束的非线性规划问题，对此采用了一种改进的遗传算法进行求解，最终获得基金的最优价格控制序列。

关键词: 封闭式基金, 价格, 库恩-塔克条件, 非线性规划, 遗传算法中图文分类：F270

Abstract: During the trading process of closed-end fund, some investors who have large amount of money may control the price of fund. On the basis of some given assumption, considering the condition that the "banker" investor for closed-end fund holding limited amount of initial investment at the beginning of a certain trade period, the fund price control process are divided into two stages. For the first stage, a single goal model which is transformed from a two goal model is gained with the known expected revenue ratio of every time of fund trade period, it can be solved by the Kuhn-Tucker condition. In the second stage, a model is constructed with minimum cash payment. It is a nonlinear program problem and the optimal price control order with an improved genetic algorithm is obtained. The calculating results of the simulation conforms with the "banker" investors' high selling and low buying process. It is valuable for the financial department to strengthen the supervision to the closed-end fund market, and it effectively prevents the excessively manipulation of fund price behavior for the closed-end funds trading.

Key words: closed-end fund, price, Kuhn-Tucker condition, nonlinear program, genetic algorithm

中图分类号:

F270

王良, 冯涛. 基于两阶段决策的封闭式基金价格控制问题研究[J]. 中国管理科学, 2014, 22(2): 24-31.

WANG Liang, FENG Tao. A Study for the Control of Closed-end Fund Price Based on Two Stage Decision with the Limited Amount of Initial Investment[J]. Chinese Journal of Management Science, 2014, 22(2): 24-31.

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