Speaker： SUN Lihua, Associate Professor, SEM Tongji University

Time：12:00-13:00, Jan.12th, 2021 Tuesday

Venue：Tongji Building Block A Room 505

Abstract:

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.