| 基于DEA法构造股票投资组合的实证研究 |
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| 引用本文： | 詹原瑞,邓权全,李晔.基于DEA法构造股票投资组合的实证研究[J].哈尔滨商业大学学报(自然科学版),2006,22(3):116-122. |
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| 作者姓名： | 詹原瑞 邓权全 李晔 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | 采用数据包络技术(DEA),选取上市公司的股票构造投资组合.另外按照通行的选股方法构造了三个投资组合并加上市场组合,采用Sharpe方法、Treynor方法和Jensen方法对这五个组合的投资业绩进行评估,并对我国股票市场的A股股票进行实证研究,最后得出基于DEA对抗型交叉评价法构造的投资组合的各评价系数最优.
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| 关 键 词： | DEA对抗型交叉评价法 投资组合 财务指标 Sharpe系数 Treynor系数 Jensen系数 |
| 文章编号： | 1672-0946(2006)03-0116-07 |
| 修稿时间： | 2005年6月13日 |
Empirical research of construction stocks portfolios based on data envelopment analysis method |
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| ZHAN Yuan-rui,DENG Quan-quan,LI Ye.Empirical research of construction stocks portfolios based on data envelopment analysis method[J].Journal of Harbin University of Commerce :Natural Sciences Edition,2006,22(3):116-122. |
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| Authors: | ZHAN Yuan-rui DENG Quan-quan LI Ye |
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| Abstract: | Based on data envelopment analysis,this paper selects stocks of China's listed companies to construct portfolio.In addition,constructing three other portfolios according to the current method of selecting stocks and adding up market portfolio,the paper adopts Sharpe method,Treynor method and Jensen method to evaluate their performance of these five portfolios.And it makes an empirical analysis on the A-share stock of China's stock market.Results showed that the evaluation coefficients of the portfolio based on the data envelopment analysis aggressive cross-evaluation are the best ones. |
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| Keywords: | DEA aggressive cross-evaluation portfolios financial ratio Sharpe coefficient Treynor coefficient Jensen coefficient |
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