CAJ | 학술논문

随着带有做空机制产品的相继出现，内地资本市场的财富管理理念正面临思路转换。基于此，文章描述了美国、英国及内地的分级基金运作模式，结合MM定理解析了分级基金的设计原理，运用数理方法提出了内地分级基金配对转换机制的优化合理折算位模型。结论认为，分级基金采用封闭式运作理论上是一种优化模式，现阶段被内地分级基金广泛采用的配对转换机制尽管有合理性，但有悖于分级设计的初衷，属次优选择；此外，在配对转换框架内，向上折算位与向下折算位相互关联，应统筹设定；最后，对内地的样本分级基金的折算机制进行了实证考察，考察结果喜忧参半。
수착대유주공궤제산품적상계출현，내지자본시장적재부관리이념정면림사로전환。기우차，문장묘술료미국、영국급내지적분급기금운작모식，결합MM정리해석료분급기금적설계원리，운용수리방법제출료내지분급기금배대전환궤제적우화합리절산위모형。결론인위，분급기금채용봉폐식운작이론상시일충우화모식，현계단피내지분급기금엄범채용적배대전환궤제진관유합이성，단유패우분급설계적초충，속차우선택；차외，재배대전환광가내，향상절산위여향하절산위상호관련，응통주설정；최후，대내지적양본분급기금적절산궤제진행료실증고찰，고찰결과희우삼반。
With the short mechanism products appearance, the thought of wealth management is facing transformation in mainlandcapital market. Based on this, the article describes the operation mode of leverage fund in America, Britain and Mainland China,analyzes the design principle, and proposes the reasonable conversion model of net asset value. We conclude that the optimal operationmode of leverage funds is the closed type. Being the second best choice, the paired transformation mechanism is against the designintention in spite of its rationality. In addition, the tight correlation is between up-conversion and down-conversion. In the end, thearticle conducts an empirical study on conversion mechanism of sample leverage funds in Mainland China, and the results are mixed.