【作者】 余湄； 金晓燕； 皮道弈；

【Author】 YU Mei,JIN Xiao-yan,PI Dao-yi (Research Center of Applied Finance,School of Finance and Banking,University of International Business and Economics,Beijing 100029,China)

【机构】 对外经济贸易大学应用金融研究中心及金融学院；

【摘要】 本文讨论了我国开放式基金的管理费率问题,运用美式看跌期权定价方法和最小二乘蒙特卡洛模拟法,同时结合基金持有人的效用水平建立模型。实证结果表明我国基金市场上管理费的收取水平偏高,需要降低。同时我们建议股票型、偏股混合型的基金管理费率应该设置在0.7%至1%之间。更多还原

【Abstract】 The management fees of open common funds in China are discussed in this paper.American put option pricing method and the least square Monte Carlo simulation method are used to set up an empirical model.At the same time,it is assumed that the investor’ s utilities are maximized to decide the expected return.The result shows that the management fee in China is higher than needed.It is suggested that the management fee should be reduced and mixed-stock fund should be set up between 0.7%and 1%.更多还原