| 证券投资基金业绩的随机占优检验 |
| |
| 引用本文： | 李德辉,方兆本. 证券投资基金业绩的随机占优检验[J]. 中国科学技术大学学报, 2007, 37(7): 762-766 |
| |
| 作者姓名： | 李德辉 方兆本 |
| |
| 作者单位： | 中国科学技术大学管理学院,安徽合肥,230026 |
| |
| 摘 要： | 将随机占优引入基金业绩评估,发现:如果投资者只关心收益率,则基金与市场指数业绩不存在明显优劣关系,如果投资者同时兼顾收益与风险,则基金优于市场指数.总之,没有充分证据表明基金明显劣于市场指数表现,现有的主流评估方法可能低估了基金经理的投资能力.
|
| 关 键 词： | 投资基金 业绩评估 夏普指数 随机占优 |
| 文章编号： | 0253-2778（2007）07-0762-05 |
| 修稿时间： | 2006-09-062006-12-07 |
Empirical study using stochastic dominance test on investment funds performance |
| |
| LI De-hui,FANG Zhao-ben. Empirical study using stochastic dominance test on investment funds performance[J]. Journal of University of Science and Technology of China, 2007, 37(7): 762-766 |
| |
| Authors: | LI De-hui FANG Zhao-ben |
| |
| Affiliation: | School of Management, University of Science and Technology of China, Hefei 230026, China |
| |
| Abstract: | With the application of stochastic dominance,it was found that investment funds do not dominate the market or are not dominated by it when only return is considered.However,investment funds dominate the market when both risk and return are considered.There is not enough evidence to prove that investment funds are dominated by the market,and popular methods used previously may underestimate the performance of fund managers. |
| |
| Keywords: | investment funds performance Sharpe ratio stochastic dominance |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
