时间：2021年1月12日（周二）12:00-13:00

地点：同济大厦A楼505室

题目：Additional Expected Return, Risk Aversion, and Closed-End Discount

额外收益、风险规避系数和封闭式基金折溢价关系研究

主讲人：孙丽华（同济大学经济与管理学院 副教授）

摘要：

In this paper, we assume that the net asset value (NAV) of closed-end fund and the value of market portfolio follow stochastic processes. We then formulate the arbitrage-free market price of a closed-end fund as the product of two components. One component is the price of the optimal replicating portfolio and the other component is a discount factor related to replication error. We prove that the discount/premium of closed-end fund is related to the additional expected return for the fund and the coefficient of risk aversion of investors.