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- W2365880015 abstract "A model is developed to determine properly the obligated cash proportion which is such a problem that all the open-end securities investment funds have to face for redemption based on jump-diffusion process to describe the expiring amount of subscription and redemption in each and every period. The maximum likelihood estimation is carried out to give unknown parameters in the process, then the model can be simplified to be an optimization of one-dimension search. An empirical study shows that it is appropriate to describe the probably relatively large amount of subscription and redemption with jump processes, and the frequency of such redemption amount can affect the obligated cash proportion significantly. The approach proposed will benefit the risk management of assets flows of open-end funds." @default.
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- W2365880015 date "2004-01-01" @default.
- W2365880015 modified "2023-09-25" @default.
- W2365880015 title "Determination of Obligated Cash Proportion of Open-End Funds Based on Jump-Diffusion Processes" @default.
- W2365880015 hasPublicationYear "2004" @default.
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