基于DEA模型的我国证券投资基金绩效评价研究

发布时间：2018-04-01 21:11

本文选题：证券投资基金　切入点：基金绩效评价模型　出处：《大连海事大学》2012年硕士论文

【摘要】：伴随着全球经济的高速发展,中国金融市场的日益壮大,投资基金行业作为其中的领军者之一发挥着极其重要的作用。我国投资基金的种类与规模日渐丰富,在整个金融市场的影响力不断增强。专业化的理财投资理念培养了越来越多的专业化投资市场参与者：市场监督者通过专业化的业绩评估方法找到管理中的不足之处。投资者运用专业化的业绩评价方法找到适合自己的投资产品。基金经理人利用有效的业绩评价模型帮助自己发现运营中的短板,改进之后实现高收益。因此,构建一个有效的证券投资基金业绩评价方法已经成为整个市场一致的目标,是所有市场参与者所需要的重要工具。本篇论文通过对理论知识的研究和实证分析相结合的方法,找到可以科学的评价基金绩效的评价方法——数据包络分析方法(DEA方法) 本文一共分为5个部分。首先介绍了本文的研究方法和研究意义,并对国内外基金评价研究方法做了介绍。其次对证券投资基金的特点、分类以及我国投资基金的发展情况作了筒单的介绍；并阐述了投资基金绩效评价的重要意义。再次,介绍了数据包络分析DEA模型的发展,以及本文之所以选择该方法进行绩效评价的理论依据。然后结合市场环境分析选择有效的输入输出决策参数,通过测算得到最终结果。之后对测算结果进行多角度分析,包括总体性分析、资产流动性分析、综合效率分析、纯技术效率分析、规模效率分析和超效率DEA模型分析。用风险度量指标对分析结果进行了验证,最终通过分析的结果提出DEA方法的优势和其中的不足之处并展望我国投资基金市场的未来发展。
[Abstract]:With the rapid development of the global economy and the growing financial market in China, the investment fund industry plays an extremely important role as one of the leading players. The influence in the whole financial market is increasing continuously. The specialized financial management investment idea has trained more and more specialized investment market participants: the market supervisor through the specialized performance appraisal method to find the insufficiency in the management. Investors use professional performance evaluation methods to find the right investment products. Fund managers use effective performance evaluation models to help them find weaknesses in their operations. Therefore, it has become the consistent goal of the whole market and an important tool for all market participants to construct an effective evaluation method for the performance of securities investment funds. Through the research of theoretical knowledge and the method of empirical analysis, this paper finds a scientific evaluation method of fund performance-data Envelopment Analysis (DEA). This paper is divided into five parts. Firstly, it introduces the research methods and significance of this paper, and introduces the research methods of fund evaluation at home and abroad. Secondly, it introduces the characteristics of securities investment funds. The classification and the development of investment funds in China are introduced, and the significance of performance evaluation of investment funds is expounded. Thirdly, the development of data envelopment analysis (DEA) model is introduced. Then the effective input and output decision parameters are selected according to the market environment analysis, and the final results are obtained by calculation. It includes total analysis, asset liquidity analysis, comprehensive efficiency analysis, pure technical efficiency analysis, scale efficiency analysis and super-efficiency DEA model analysis. Finally, the paper points out the advantages and disadvantages of DEA method and looks forward to the future development of China's investment fund market.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【共引文献】