一个基于非对称Laplace分布和DEA的证券投资基金评价方法

针对中国开放式基金收益率序列明显的尖峰、厚尾性和有偏性,用非对称Laplace分布来拟合收益率分布,试图更好地度量证券投资基金的风险.在此基础上,使用DEA模型并从一个新的角度设置基金评价的输入输出指标,将基金的长期、中期、短期业绩结合给出评价结果,不仅克服了参数评价方法因市场组合选择不同和理论基础CAPM模型有效性带来的评估结果失真问题,而且满足了投资者根据基金业绩持续性评价的认知需要.

A Method for Evaluating Mutual Funds' Performance based on Asymmetric Laplace Distribution and DEA Approach

Since the time series of Chinese mutual funds' returns is characterized with sharp kurtosis,skewness and heavy tail,the return series are simulated with an asymmetric Laplace distribution which fully allows sharp kurtosis,skewness and heavy tail in order to evaluate the mutual funds risk accurately.DEA approach is applied in this paper for mutual funds performance assessment,but from a new perspective.The inputs and outputs are designed to include long-term,mid-term as well as shor-term performance and risk control,which is more rational and better than the existing methods.It not only overcomes the distortion resulted from improper models but also satisfies investors' demand for persistence knowledge.