Optimal investment problem for an open-end fund with dynamic flows
Optimal investment problem for an open-end fund with dynamic flows
复制标题
动态流动开放式基金的最优投资问题
DOI：
10.1080/00207179.2020.1758960
复制
发表时间：
2021
影响因子：
2.1
通讯作者：
Wang Suxin
中科院分区：
文献类型：
--
作者：
Han Kai;Rong Ximin;Zhao Hui;Wang Suxin
摘要本文研究具有动态流动的开放式基金的最优投资问题。累积资金的流入和流出过程分别用两个独立的复合泊松过程来模拟。基金经理在无风险资产和风险资产之间分配基金资金。对资金流入过程与风险资产价格过程的相关性进行了研究。灵感来自Berk和Van Binsbergen[(2015)]。共同基金行业的衡量技巧。本文首次引入累积增值过程来衡量基金绩效[j] .金融经济学报，118(1),1 - 20。基金经理的目标是使基金累积增值的预期效用最大化。通过动态规划方法，明确地推导出最优投资策略。给出了一个验证定理，并分析了最优策略的一些性质。最后，通过灵敏度分析说明了模型参数对最优策略的影响。
ABSTRACT This paper investigates an optimal investment problem for an open-end fund with dynamic flows. The accumulated fund inflow and outflow processes are modeled by two independent compound Poisson processes, respectively. The fund manager allocates the fund capital between a risk-free asset and a risky asset. The correlation between the fund inflow process and the risky asset's price process is under consideration. Inspired by Berk and Van Binsbergen [(2015). Measuring skill in the mutual fund industry. Journal of Financial Economics, 118(1), 1–20], we first introduce the accumulated value added process to measure the fund performance. The manager aims to maximize the expected utility of the fund's accumulated value added. We derive the optimal investment strategy explicitly via dynamic programming approach. Furthermore, a verification theorem is provided and some properties of the optimal strategy are analyzed. Finally, sensitivity analysis is given to illustrate the effects of model parameters on the optimal strategy.