CAJ | 학술논문

在分析当前封闭式基金创新特点的基础上，运用满足一致性公理的高阶期望损失风险测度对创新型封闭式基金的风险特征进行度量，并与传统封闭式基金进行实例对比，结果发现创新型封闭式基金的波动风险明显低于传统封闭式基金，其间存在广义随机占优关系，这说明封闭式基金的创新方案确实改变了其风险特征，有助于解决折价率过高问题。
재분석당전봉폐식기금창신특점적기출상，운용만족일치성공리적고계기망손실풍험측도대창신형봉폐식기금적풍험특정진행도량，병여전통봉폐식기금진행실례대비，결과발현창신형봉폐식기금적파동풍험명현저우전통봉폐식기금，기간존재엄의수궤점우관계，저설명봉폐식기금적창신방안학실개변료기풍험특정，유조우해결절개솔과고문제。
The development of closed-end funds in China has entered the stage of innovation, a high degree expected shortfall method is used to measure the risk of reformed funds on the basis of characteristics analysis of innovation. By comparing the result with that of existing old funds, this paper finds out that the fluctuation risk of reformed funds is lower than the older ones, which indicates that the reform program has achieved the intended results, and this will help to solve the problems of excessive discount rate of closedend funds. Finally, suggestions are put forward for the further innovations.