基于数据包络分析的基金多期绩效评价与投资组合选择研究

项目名称： 基于数据包络分析的基金多期绩效评价与投资组合选择研究

项目编号： No.11301395

项目类型： 青年科学基金项目

立项/批准年度： 2014

项目学科： 数理科学和化学

项目作者： 林瑞跃

作者单位： 温州大学

项目金额： 22万元

中文摘要： 由于现实基金绩效管理与投资分析中的极大应用价值，寻求合理评价基金绩效与最优投资组合选择问题的新型有效方法成为有待解决的热点问题。本项目拟以数学包络分析（DEA）为主要工具，沿新的途径建立考虑环境影响和随机干扰的基金绩效评价模型；在此基础之上，利用二阶段网络DEA技术来导出恰当评价基金多期绩效的新模型，使其既能较好的考虑风险分散效应，又能全面反映多期风险和收益分布的特点，由此克服现有基金绩效评价模型的不足；然后立足于DEA类固定投入分配方法，考虑金融市场的具体情况，构建能灵活兼顾各种市场摩擦因素的多期投资组合选择模型，设计可使非有效基金达到有效的投资组合选择模型；最后，将新模型用于解决实际中的基金绩效管理和投资组合决策制定等问题。研究成果将有力地推动基金绩效管理和投资分析理论的发展，并为求解我国金融市场中的复杂多期基金绩效管理和投资决策问题提供科学依据。

中文关键词： 数据包络分析；超效率；交叉效率；分配；绩效评价

英文摘要： Due to the great application value for fund performance management and investment analysis in reality, searching new effective approaches for reasonably evaluating fund performance and selecting optimal portfolio has become a hot issue. This project will employ the data envelopment analysis (DEA) technology as the main tool and will use new approaches to build the fund performance evaluation model considering the environmental effects and statistical noise. Then based on these above, by using the two-stage network DEA techniuqe, this project will derive the new model for evaluating the multi-period performance of mutual fund appropriately. This new model can not only consider risk diversification well, but also reflect the characteristics of the multi-period risks and return distributions of funds thoroughly. Thus some existing shortages of fund performance evaluation models can be overcome. Additionally, on the basis of DEA-based fixed input allocation methods and in consideration of the specific situation of the financial market, this project will construct the multi-period portfolio selection model which can take into account various market friction factors flexibly, and will design the model for inefficient funds to achieve efficiency. Finally, this project will use new models to settle the practical issues

英文关键词： data envelopment analysis；super-efficiency；cross-efficiency；allocation；performance evaluation