证券投资基金风险评价与业绩特征的预测研究

项目名称： 证券投资基金风险评价与业绩特征的预测研究

项目编号： No.70801006

项目类型： 青年科学基金项目

立项/批准年度： 2009

项目学科： 金属学与金属工艺

项目作者： 赵秀娟

作者单位： 北京邮电大学

项目金额： 17万元

中文摘要： 本项目旨在研究中国证券投资基金评价领域的两个重要问题：创新产品的风险度量与评价，收益、风险、规模等业绩特征的预测方法。该研究不仅有着特别重要的现实意义，而且也有着非常重要的学术价值。通过研究创新基金产品中多金融资产的复杂相关结构，开发更科学的证券投资基金风险度量模型和风险评价指标，并对新风险指标下的投资组合管理开展研究；在实证的基础上从系统工程角度对基金业绩的持续性特点及其根源开展系统、深入的研究，集成若干数据挖掘方法开发出切合中国实际的基金业绩特征预测模型。希望通过本项目的研究,解决我国证券投资基金业绩评价中的二个关键科学问题，并在理论研究的同时对中国证券投资基金市场发展进行相关的政策研究，其研究成果将不仅能够为投资渠道拓宽后的中国证券投资基金风险管理和投资决策提供理论支持和方法工具，并且为政府监管部门提供科学的监测依据，促进我国证券投资基金市场的健康快速发展。

中文关键词： 证券投资基金；风险管理；持续性；评价；预测

英文摘要： This project was designed to settle the two important issues in the evaluation of mutual funds performance in China's market, which namely are measurement with appraisal of innovative products, and forecasting methods for return, risk and scales. The research is great academic valuable as well as has very important and actual meaning. It has studied portfolio management with novel risk indices and developed more scentific risk measurement model and risk appraisal indices for mutual funds based on complicated structure between multiple financial assets. It also has studied mutual funds' performance persistence and their roots from a systems engineering angle, from which practical performance features' prediction model in China's market has been proposed, with several data mining methods integrated. That will hopefully sovle the two critical scentific problems mentioned at the very first. At the same time, we have conducted corresponding policy studies on China's mutual fund market, the outcomes of which not only afford theoretical support and methodology for the developing Chinese mutual funds' risk management and investment decision making, but also afford scentific monitoring tools for the government, and help to accelerate the market's rapd development.

英文关键词： mutual funds;risk management;persistence;evaluation;prediction