基于特征的PCPC基金评价模型及其实证分析

针对我国证券投资基金产品的业绩特征, 提出一个合理的DEA模型,即偏好类别部分不可控DEA模型(PCPC), 为证券投资基金评价服务.给出了PCPC模型的定义及其对偶形式,不仅针对PCPC模型的性质进行了详细的数理推导,通过引入无穷小的正数$\varepsilon $来简化模型的运算,并且列举了PCPC模型的分析途径,最后应用PCPC模型对我国证券投资基金进行了实证分析.

PCPC fund evaluation model with empirical study based on characteristics

Evaluating fund performance in data envelopment analysis is more comprehensive than in traditional single-factor or multi-factor models. An improved DEA model is proposed in this paper based on performance characteristics of equity funds in China, which is called PCPC (preferrable category partly control) model, serving as an assessing tool for equity mutual funds. In this paper,definition and dual form are provided. In succession, not only detailed illustration for PCPC model's property, but also predigestion is given. Furthermore, we enumerate PCPC model's analysis avenue and apply it into equity mutual funds evaluation in China.