| 基于DEA模型的基金业绩评估的主要方法 |
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| 引用本文： | 陈志平,林瑞跃.基于DEA模型的基金业绩评估的主要方法[J].系统工程学报,2005,20(1):73-83,93. |
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| 作者姓名： | 陈志平 林瑞跃 |
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| 作者单位： | 1. 西安交通大学理学院,陕西,西安,710049
2. 温州大学数学与信息科学学院,浙江,温州,325035 |
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| 基金项目： | 陕西省自然科学基金资助项目(2001SL09). |
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| 摘 要： | 综述了评估基金业绩的主要方法，特别是分类介绍了新近基于DEA模型所提出的几种基金绩效评价指标，在简述不同指标的优缺点、国内在该领域的研究现状的基础上，指出有关DEA模型研究及其进一步用于基金业绩评估时所存在的其它亟待解决的问题。
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| 关 键 词： | 基金 业绩评估 DEA模型 收益 风险 交易费用 |
| 文章编号： | 1000-5781(2005)01-0073-11 |
Main methods for the mutual fund performance evaluation based on DEA models |
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| CHEN Zhi-ping,LIN Rui-yue.Main methods for the mutual fund performance evaluation based on DEA models[J].Journal of Systems Engineering,2005,20(1):73-83,93. |
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| Authors: | CHEN Zhi-ping LIN Rui-yue |
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| Institution: | CHEN Zhi-ping~1,LIN Rui-yue~2 |
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| Abstract: | Major methods for measuring the performance of mutual funds are reviewed in this paper, specially several classes of newly proposed mutual fund performance evaluation indices based on the DEA model are introduced. After discussing the advantages and shortcomings of various performance indices and the_state_of_arts of domestic research in this field, some urgent problems about future researches on the DEA model and its further application in the mutual fund performance evaluation are also pointed out. |
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| Keywords: | mutual fund performance evaluation the DEA model return risk transaction costs |
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