摘要
中小企业融资解困一直是政策制定者亟待解决的问题及学者关注的课题。本文从基金资产配置的视角,展开了中小企业融资解困方式的创新研究。为研究方便,本文提出了存在非流动资产时机构投资者的最优资产配置模型。其中,对中小企业的融资视为非流程资产,而基金看作机构投资者。在模型中,机构投资者的目标函数是财富效用的期望增长率。本文将该类资产配置问题简化为有限时间上的控制问题,给出了价值函数满足的偏微分方程以及对应的初始条件、终止条件以及边界条件,求解了最高的财富效用期望增长率及对应的最优资产配置。文章的最大贡献是提出了一种创新研究方式,在某种程度上实现了基金、中小企业的双赢局面。
The solution of mid-small enterprise financing dilemma is always a critical problem for policy makers and a toptic for researchers.The paper sets an innovative research on the solution of mid-small enterprise financing dilemma from the perspective of fund asset allocation.This paper puts forward the optimal asset allocation model of institutional investors on conditio of the existence of illiquid asset.In this model,the target function of institutional investors is expected increase rate of wealth effectiveness.It simplifies this kind of asset allocation into the control problem at finite time,gives out the partial differential equation which value function meets and corresponding initial,ending and boundary conditions,finds out the highest expected increase rate of wealth effectiveness and the corresponding optimal asset allocation.The biggest contribution lies in finding an innovative research to realize a win-win situation of fund and mid-small enterprise.
出处
《中国软科学》
CSSCI
北大核心
2012年第8期111-118,共8页
China Soft Science
关键词
中小企业融资
基金
流动性
资产配置
长期增长率
机构投资者
mid-small enterprise financing； fund； liquidity； asset allocation； long-term increase rate； institutional investors
