基于DEA模型的我国基金业绩评价—2006年到2010年时间面板数据

发布时间：2018-01-03 05:09

本文关键词：基于DEA模型的我国基金业绩评价—2006年到2010年时间面板数据　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国基金业十几年的高速发展,证券投资基金已成为证券市场的一种重要的投资产品。面对数量急剧增加的各类投资基金,如何对其业绩进行有效和客观的评价,并以此对众多基金加以比较和选择,已成为摆在学术界面前的重要课题,也是现今我国基金业健康发展的关键性环节。本文阐述了现代投资组合理论、CAPM理论、套利定价理论、有效市场理论、行为金融学理论等对基金业绩评价研究的方法,归纳了传统研究方法和DEA评价方法的优点和局限性；在基金业绩评价的相关理论、概念和DEA评价理论的支持下,运用DEA模型的评价思想,选取了适合本文中DEA基金业绩评价模型的指标；基于以上论述,分别从基金投资风格和投资规模的角度,分析了不同的评价层面,构造了评价投资回报效率的投入产出模型；论文在实证方面,运用本文建立的模型,对我国60支证券投资基金进行了评价,并就研究结果展开了深入的分析。
[Abstract]:With the rapid development of the fund industry in China for more than ten years, the securities investment fund has become an important investment product in the securities market. How to evaluate its performance effectively and objectively, and how to compare and choose many funds, has become an important subject in front of the academic circles, and is also the key link of the healthy development of the fund industry in our country. This paper expounds the modern portfolio theory CAPM theory, arbitrage pricing theory, efficient market theory, behavioral finance theory and other research methods of fund performance evaluation. The advantages and limitations of traditional research methods and DEA evaluation methods are summarized. With the support of relevant theories, concepts and DEA evaluation theories of fund performance evaluation, the index suitable for DEA fund performance evaluation model in this paper is selected by using the evaluation idea of DEA model. Based on the above discussion, from the perspective of investment style and investment scale, this paper analyzes the different evaluation levels, and constructs an input-output model to evaluate the efficiency of investment return. In the empirical aspect, using the model established in this paper, 60 securities investment funds in China are evaluated, and the research results are analyzed deeply.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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