面向基金赎回风险应对场景的决策优化
作者:
作者单位:

浙江大学 控制科学与工程学院 工业控制研究所

作者简介:

通讯作者:

中图分类号:

O221.5

基金项目:

广东省重点领域研发计划项目;国家重点研发计划项目


Decision optimization for fund redemption risk response scenarios
Author:
Affiliation:

Instit ute of Industrial Control, College of Control Science and Engineering, Zhejiang University

Fund Project:

  • 摘要
  • |
  • 图/表
  • |
  • 访问统计
  • |
  • 参考文献
  • |
  • 相似文献
  • |
  • 引证文献
  • |
  • 资源附件
  • |
  • 文章评论
    摘要:

    对于基金管理者而言,投资者提前或大额赎回有可能带来流动性风险,因此需要提前进行融资以应对需求。为了降低融资的成本,同时满足赎回需求,本文建立了一种混合整数二次约束规划模型,模型符合实际业务约束,并引入了融资成本波动的不确定性,将成本波动的风险量化为方差,同时考虑了融资成本和风险的最小化。当不考虑风险时,模型退化为确定性优化命题。使用金融机构提供的算例进行仿真,优化结果能够兼顾决策的最优性和求解的快速性,能够满足实际业务的需求。对比确定性和不确定性模型得到的决策方案,分析总结了降低融资风险的方法。针对方差上限进行灵敏度分析,结果进一步支持了已有的观点。

    Abstract:

    For fund managers, early and large redemption may bring liquidity risk, so it is necessary to finance in advance. In order to reduce the cost of financing and meet the demand for redemption, in this paper a mixed integer quadratic constraint programming model was established, which subjected to the actual business constraints, and the uncertainty of financing cost fluctuations was quantified as the variance of the cost. The model minimized both financing costs and risks. When the risk is not considered, the model degenerates into a deterministic optimization proposition. A simulation example was provided by financial institutions. The optimization results can take into account both the optimality of decision-making and the solving speed, which can meet the needs of the actual business. By comparing the decision schemes obtained by the deterministic and uncertain models, the methods of reducing financing risk were analyzed and summarized. A sensitivity analysis was carried out on the upper limit of variance, and the results further supported the existing opinions.

    参考文献
    相似文献
    引证文献
引用本文
分享
文章指标
  • 点击次数:
  • 下载次数:
  • HTML阅读次数:
  • 引用次数:
历史
  • 收稿日期:2020-08-03
  • 最后修改日期:2021-10-19
  • 录用日期:2020-11-05
  • 在线发布日期: 2020-12-02
  • 出版日期: