| 基于DEA模型的最优基金投资策略研究 |
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| 引用本文： | 虞芳,鲍远娟,陶超,朱家明.基于DEA模型的最优基金投资策略研究[J].高师理科学刊,2016(7):4-8. |
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| 作者姓名： | 虞芳 鲍远娟 陶超 朱家明 |
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| 作者单位： | 1. 安徽财经大学 金融学院,安徽蚌埠,233030;2. 安徽财经大学 统计与应用数学学院,安徽蚌埠,233030 |
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| 基金项目： | 国家自然科学基金，安徽财经大学教研项目 |
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| 摘 要： | 为慈善基金提出了最优投资策略,定义了投资回报率的度量,投资回报率分别由主成分分析以及数据包络分析模型测量得到,并根据投资回报率选择了10个最优投资的大学.根据马克维茨投资组合理论确定高校投资额,用目标院校近5年投资回报率的平均值和标准差构建了投资组合模型,资金分配的具体比例能唯一确定.根据规模报酬估计投资时间,帮助慈善基金实现利益最大化.
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| 关 键 词： | 投资组合 DEA模型 规模收益 |
Research on optimal fund investment strategy based on DEA model |
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| Abstract: | Proposes an optimal investment strategy for charity fund,which mainly includes three parts.First,define a measurement of rate on investment(ROI),the two factors in ROI are measured with principal component analysis (PCA)and data envelopment analysis(DEA)model,respectively.The ten optimal investment universities are selected according to ROI.Second,the investment volume of selected ten universities is determined by Markowitz portfolio theory.Construct the portfolio model with the mean and the standard deviation of ROI during recent 5 years. According to Markowitz portfolio model,the concrete proportion of fund allocation is determined uniquely.Finally, proposes a strategy of estimating the investment time duration based on scale reward to help maximize the fund benefit. |
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| Keywords: | investment portfolio DEA model scale return |
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