WO2020000695A1 - Système et procédé de réglage de position de fonds, dispositif informatique et support d'informations - Google Patents

Système et procédé de réglage de position de fonds, dispositif informatique et support d'informations Download PDF

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Publication number
WO2020000695A1
WO2020000695A1 PCT/CN2018/106406 CN2018106406W WO2020000695A1 WO 2020000695 A1 WO2020000695 A1 WO 2020000695A1 CN 2018106406 W CN2018106406 W CN 2018106406W WO 2020000695 A1 WO2020000695 A1 WO 2020000695A1
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WIPO (PCT)
Prior art keywords
fund
position adjustment
product
redemption
objective function
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PCT/CN2018/106406
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English (en)
Chinese (zh)
Inventor
蒋逸文
侯洁琼
陈泽晖
黄鸿顺
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平安科技（深圳）有限公司
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Publication of WO2020000695A1 publication Critical patent/WO2020000695A1/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Definitions

  • This application relates to the field of financial information technology, and in particular, to a method, system, computer equipment, and storage medium for fund relocation.
  • Funds in a broad sense, refer to a certain amount of funds established for a certain purpose; in a narrow sense, they refer to funds with a specific purpose and purpose.
  • the fund includes the stages of subscription, purchase and redemption. During the fund sales process, subscription fees, subscription fees, and redemption fees are often borne by investors. Among them, the subscription fee is to encourage investors to purchase funds during the fund-raising period. Many funds set a subscription fee rate that is higher than that after the fund was established. The subscription fee rate is low; the subscription fee is currently 1% -2% of the subscription amount of domestic open-end funds, and multiple levels of fees are set up, and the use rate for large subscription amounts is also low.
  • a fund position adjustment method which includes:
  • a fund position adjustment model is preset in the fund trading system, and an objective function is set in the fund position adjustment model.
  • the fund position adjustment model obtains a minimum value of fund position adjustment cost by calling the objective function;
  • fund position adjustment model obtains fund position adjustment information
  • calculation is performed by using the objective function to obtain a minimum value of fund position adjustment cost.
  • this application also provides a fund position adjustment system, including:
  • the setting objective function unit is set as a fund position adjustment model preset in the fund trading system, and an objective function is set in the fund position adjustment model, and the objective function is used to obtain a minimum value of fund position adjustment;
  • the calculation value unit is configured to obtain the fund position adjustment information by the fund position adjustment model, and then use the objective function to perform calculation to obtain a minimum value of the fund position adjustment cost.
  • the present application also provides a computer device including a memory and a processor.
  • the memory stores computer-readable instructions.
  • the processing causes the processing.
  • the processor performs the following steps:
  • a fund position adjustment model is preset in the fund trading system, and an objective function is set in the fund position adjustment model, and the objective function is used to obtain a minimum value of the fund position adjustment cost;
  • fund position adjustment model obtains fund position adjustment information
  • calculation is performed by using the objective function to obtain a minimum value of fund position adjustment cost.
  • the present application also provides a storage medium storing computer-readable instructions.
  • the computer-readable instructions When the computer-readable instructions are executed by one or more processors, the one or more processors execute the following steps:
  • a fund position adjustment model is preset in the fund trading system, and an objective function is set in the fund position adjustment model, and the objective function is used to obtain a minimum value of the fund position adjustment cost;
  • fund position adjustment model obtains fund position adjustment information
  • calculation is performed by using the objective function to obtain a minimum value of fund position adjustment cost.
  • a fund position adjustment model is preset in the fund trading system, and an objective function is set in the fund position adjustment model, and the objective function is used to obtain the fund position adjustment cost Minimize the value; after the fund position adjustment model obtains fund position adjustment information, use the objective function to perform calculation to obtain the fund position adjustment cost minimization value.
  • This application can reduce the cost of relocation by calculation and improve the experience of the people.
  • FIG. 1 is a flowchart of a fund position adjustment method according to an embodiment of the present application
  • FIG. 2 is a schematic diagram of a fund position adjustment system according to an embodiment of the present application.
  • FIG. 1 is a flowchart of a fund position adjustment method according to an embodiment of the present application. As shown in FIG. 1, the fund position adjustment method may include the following steps:
  • Step S1 a fund position adjustment model is preset in the fund trading system, and an objective function is set in the fund position adjustment model, and the objective function is used to obtain a minimum value of the fund position adjustment cost;
  • the objective function is:
  • the S C is the fund redemption fee
  • the R C is the fund subscription fee
  • the P C is the fund subscription fee
  • the fund adjustment cost S C + R C + P C
  • the fund trading system is in the fund trading platform
  • a fund position adjustment model is preset, and the fund position adjustment model sets an objective function to minimize the fund position adjustment cost through the calculation of the objective function, that is, the sum of the fund redemption fee, the fund subscription fee, and the fund subscription fee. It is equal to the minimum value of the fund's position adjustment cost.
  • the fund redemption also known as fund buyback
  • fund buyback is for open-end funds. Investors in their own name directly or indirectly through the agent fund request the fund management company to partially or completely withdraw from the investment of the fund. And remittances to the investor's account.
  • the formula for calculating the fund redemption fee S C is:
  • the S and M are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2, ..., S indicates preparation for fund transfer positions fund product number, the S + 1, ... M represents the number has not been fund products for fund transfer positions, a i is the i-th holding assets fund fund products, the b i is the fund redemption rate of the i-th fund product, said b i + s is the fund redemption rate of the i + s fund product, and y i is the i-th fund fund position
  • the fund transfer model can obtain the fund redemption fee S C according to the above calculation formula.
  • the fund subscription refers to a process in which an investor purchases fund shares before the fund is established during the period of open-end fund raising.
  • the formula for calculating the fund subscription fee R C is:
  • the M and N are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, M + 1, ..., N, where the 1 , 2, ..., S represents the fund product number of the fund position adjustment, S + 1, ... M represents the fund product number of the fund position adjustment, the M + 1, ... , N fund transaction authority issued fund products number Z i is the i-th amount of fund products assets subscription, the subscription rates D i is the i-th fund products, fund transaction model according to the above formula, Find the fund subscription fee R C.
  • the fund purchase refers to an act in which an investor opens a fund account at a fund management company or a selected fund agency and applies for purchasing fund shares in accordance with prescribed procedures.
  • the formula for calculating the fund subscription fee P C is:
  • the S and M are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2, ..., S indicates preparation
  • the fund product number of the fund position adjustment, S + 1, ... M represents the fund product number of the fund position adjustment, and t i is the subscription of the i-th fund product that has not been prepared for fund position adjustment.
  • the amount of the purchase rates C i is the i-th fund products, fund transaction system according to the above formula, the fund purchase cost can be obtained P C.
  • the objective function further includes constraint conditions, and the constraint conditions include the final amount of redemption of fund assets that have not yet been prepared for fund adjustment, the net asset value of the fund after initial subscription, weight constraints, and value Constraints and quantity constraints;
  • the final amount of the redemption application of the fund assets, said a i + s is the holding amount of the fund assets of the i + s fund product, and said y i is the i-th fund that has not undergone fund relocation.
  • the redemption amount of the product, where t i is the purchase amount of the i-th fund product that has not yet been prepared for fund transfer;
  • the final amount of the X i is the i-th redemption not ready to purchase funds transfer positions fund assets, the assets of the total sum A after the funds assets before funds transfer positions, W i is the S th + i fund product target weights, S and M are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2 , ..., S represents the fund product number of the fund position adjustment, and S + 1, ... M represents the fund product number of the fund position adjustment;
  • the A after is the total assets of the fund assets before the fund relocation
  • the X i is the final amount after the redemption subscription of the i-th fund asset that is not yet ready for fund relocation
  • the z i is the i
  • the number of asset subscriptions for each fund product, the S and M are the fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2 , ..., S represents the fund product number of the fund position adjustment, and S + 1, ... M represents the fund product number of the fund position adjustment;
  • the quantity constraint includes 0 ⁇ y i ⁇ a i + s and t i ⁇ 0, the y i is the redemption amount of the i-th fund product that has not yet been fund-positioned, and the a i + s is i + s holdings of fund assets, where t i is the subscription amount of the i-th fund product that has not yet been prepared for fund transfer.
  • the fund relocation refers to that the fund manager sells stocks with heavy positions before buying other stocks.
  • Step S2 After the fund position adjustment model obtains fund position adjustment information, use the objective function to perform calculation to obtain a minimum value of fund position adjustment cost.
  • the minimum value for obtaining the fund relocation cost includes:
  • An input interface and a data interface are set up in the fund trading system. After obtaining the position adjustment information by calling the input interface, the fund interface is connected to the fund adjustment model by calling the data interface, and the position adjustment information is sent to the fund adjustment model. In the method, after the fund position adjustment model obtains the position adjustment information, calculation is performed by using an objective function to obtain a minimum value of the fund position adjustment cost.
  • the data interface is an interface that wants a data connection line to output data during data transmission.
  • the docking between the fund trading system and the fund position adjustment model can be realized, and the fund transaction system can realize the transmission of position adjustment information to the fund position adjustment model.
  • the fund position adjustment information includes the current fund asset holding amount, the current position fund code, the current fund position proportion, the target code after the position adjustment, and the target fund position position after the position adjustment.
  • a and b are the transaction amounts of A and B funds respectively. Based on the above calculations, the values represented by a and b can be obtained. At the same time, the investor's handling fee is (0.003 * a + 0.003 * b). That is, use 20,000 to buy A fund and B fund. Through the above calculation, we can know that the transaction amount of A fund is 3988 yuan, the transaction amount of B fund is 15952 yuan, of which the handling fee is 60 yuan.
  • the fund transaction system calculates the fund position adjustment cost through the objective function in the fund position adjustment model, and obtains the fund position adjustment cost minimization value.
  • an embodiment of the present application further provides a fund position adjustment system.
  • the system includes an objective function unit and a calculation unit;
  • the setting objective function unit is set to preset a fund position adjustment model in a fund trading system, and an objective function is set in the fund position adjustment model.
  • the fund position adjustment model obtains fund position adjustment by calling the objective function. Cost minimization value
  • the calculation value unit is configured to obtain the fund position adjustment information by the fund position adjustment model, and then use the objective function to perform calculation to obtain a minimum value of the fund position adjustment cost.
  • the objective function setting unit presets a fund position adjustment model in the fund trading system, and sets an objective function in the fund position adjustment model, and the objective function is used to obtain a fund position adjustment cost minimization.
  • a value; the calculation value unit obtains fund position adjustment information through the fund position adjustment model, and then uses the objective function to perform calculation to obtain a fund position adjustment cost minimization value.
  • the objective function in the setting objective function unit is:
  • the S C is the fund redemption fee
  • the R C is the fund subscription fee
  • the P C is the fund subscription fee
  • the fund adjustment cost S C + R C + P C
  • the fund trading system is in the fund trading platform
  • a fund position adjustment model is preset, and the fund position adjustment model sets an objective function to minimize the fund position adjustment cost by calculating the objective function, that is, the sum of the fund redemption fee, the fund subscription fee, and the fund subscription fee It is equal to the minimum value of the fund's position adjustment cost.
  • the calculation formula of the fund redemption fee S C is:
  • the S and M are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2, ..., S indicates preparation for fund transfer positions fund product number, the S + 1, ... M represents the number has not been fund products for fund transfer positions, a i is the i-th holding assets fund fund products, the b i is the fund redemption rate of the i-th fund product, said b i + s is the fund redemption rate of the i + s fund product, and y i is the i-th fund fund position
  • the fund transfer model can obtain the fund redemption fee S C according to the above calculation formula.
  • the formula for calculating the fund subscription fee R C is:
  • the M and N are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, M + 1, ..., N, where the 1 , 2, ..., S represents the fund product number of the fund position adjustment, S + 1, ... M represents the fund product number of the fund position adjustment, the M + 1, ... , N fund transaction authority issued fund products number Z i is the i-th amount of fund products assets subscription, the subscription rates D i is the i-th fund products, fund transaction model according to the above formula, Find the fund subscription fee R C.
  • the formula for calculating the fund subscription fee P C is:
  • the S and M are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2, ..., S indicates preparation
  • the fund product number of the fund position adjustment S + 1, ... M represents the fund product number of the fund position adjustment
  • ti is the subscription amount of the i-th fund product that has not yet been prepared for fund position adjustment
  • C i is the subscription fee rate of the i-th fund product
  • the fund transaction system can obtain the fund subscription fee P C according to the above calculation formula.
  • the objective function in the setting objective function unit further includes:
  • Constraints which include the final amount of redemption of fund assets that have not yet been prepared for fund adjustment, the net asset value of the fund after initial subscription, weight constraints, value constraints, and quantity constraints;
  • the final amount of the redemption application of the fund assets, said a i + s is the holding amount of the fund assets of the i + s fund product, and said y i is the i-th fund that has not undergone fund relocation.
  • the redemption amount of the product, where t i is the purchase amount of the i-th fund product that has not yet been prepared for fund transfer;
  • the final amount of the X i is the i-th redemption not ready to purchase funds transfer positions fund assets, the assets of the total sum A after the funds assets before funds transfer positions, W i is the S th + i fund product target weights, S and M are fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2 , ..., S represents the fund product number of the fund position adjustment, and S + 1, ... M represents the fund product number of the fund position adjustment;
  • the A after is the total assets of the fund assets before the fund relocation
  • the X i is the final amount after the redemption subscription of the i-th fund asset that is not yet ready for fund relocation
  • the z i is the i
  • the number of asset subscriptions for each fund product, the S and M are the fund product numbers, and the fund product numbers are 1,2, ..., S, S + 1, ... M, where the 1,2 , ..., S represents the fund product number of the fund position adjustment, and S + 1, ... M represents the fund product number of the fund position adjustment;
  • the quantity constraint includes 0 ⁇ y i ⁇ a i + s and t i ⁇ 0, the y i is the redemption amount of the i-th fund product that has not yet been fund-positioned, and the a i + s is i + s holdings of fund assets, where t i is the subscription amount of the i-th fund product that has not yet been prepared for fund transfer.
  • the value calculation unit is further configured to set an input interface and a data interface in the fund trading system, and obtain the position adjustment information by calling the input interface, and then connect the fund position adjustment model by calling the data interface.
  • the position adjustment information is sent to the fund position adjustment model.
  • the fund position adjustment model After the fund position adjustment model obtains the position adjustment information, it uses an objective function to perform calculation to obtain a minimum value of the fund position adjustment cost.
  • the present application also proposes a computer device including a memory, a processor, and computer-readable instructions stored on the memory and executable on the processor, the processing When the processor executes the computer-readable instructions, the steps in the fund position adjustment method in the foregoing embodiments are implemented.
  • the present application also provides a storage medium storing computer-readable instructions.
  • the computer-readable instructions are executed by one or more processors, the one or more processors execute the foregoing implementations.
  • the computer program can be stored in a computer-readable storage medium.
  • the foregoing storage medium may be a non-volatile storage medium such as a magnetic disk, an optical disc, a read-only memory (ROM), or a random access memory (Random Access Memory, RAM).

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Abstract

La présente invention concerne un système et un procédé de réglage de position de fonds, un dispositif informatique, et un support d'informations. Le procédé consiste : à prédéfinir un modèle de réglage de position de fonds dans un système de transaction de fonds, et à définir une fonction cible dans le modèle de réglage de position de fonds, la fonction cible étant utilisée pour résoudre la valeur minimale du coût de réglage de position de fonds ; et après l'acquisition des informations de réglage de position de fonds par le modèle de réglage de position de fonds, à réaliser un calcul à l'aide de la fonction cible pour acquérir la valeur minimale du coût de réglage de position de fonds. Au moyen de la présente invention, les dépenses de réglage de position peuvent être réduites par l'intermédiaire d'un calcul, et l'expérience des investisseurs de fonds est améliorée.
PCT/CN2018/106406 2018-06-25 2018-09-19 Système et procédé de réglage de position de fonds, dispositif informatique et support d'informations WO2020000695A1 (fr)

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CN201810656997.4 2018-06-25
CN201810656997.4A CN108961064A (zh) 2018-06-25 2018-06-25 基金调仓方法、系统、计算机设备和存储介质

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Citations (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN104715412A (zh) * 2013-12-17 2015-06-17 远光软件股份有限公司 一种自动配票的方法及装置
CN105809270A (zh) * 2016-01-05 2016-07-27 淮海工学院 基于区间多目标规划的证券投资组合进化优化方法
CN107194810A (zh) * 2017-05-15 2017-09-22 嘉实远见科技（北京）有限公司 资产配置系统和方法

Patent Citations (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN104715412A (zh) * 2013-12-17 2015-06-17 远光软件股份有限公司 一种自动配票的方法及装置
CN105809270A (zh) * 2016-01-05 2016-07-27 淮海工学院 基于区间多目标规划的证券投资组合进化优化方法
CN107194810A (zh) * 2017-05-15 2017-09-22 嘉实远见科技（北京）有限公司 资产配置系统和方法

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