Comparing with closed-end funds, open-end funds are involved in greater liquidity risks when dealing with stochastic redemption. Liquidation strategy significantly influences the net asset value of open-end funds.
In this paper, we study the optimal liquidation strategy of open-end funds. We model the liquidation operations under some assumptions and deduce the analytical solution of the optimal liquidation strategy. The results of parameter sensitivity indicate that the strategy is sensitive to the manager's risk tolerance, the asset volatility rate, the short-term market depth and the stock's initial price, although it is insensitive to the long term market depth and the security excess return rate. It is expected that the results would be helpful for designing liquidation strategies for open-end funds based on scientific research results.