本文關鍵詞：我國證券投資基金績效評價方法研究　出處：《山東大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 基金績效 綜合評價 信息熵 粒子群優(yōu)化算法

【摘要】：我國的證券投資基金從產(chǎn)生到發(fā)展已經(jīng)經(jīng)歷十幾年,近年來基金業(yè)的發(fā)展速度很快,基金規(guī)模呈幾何速度增長,目前已達到成立時的40億倍。隨著我國經(jīng)濟的不斷發(fā)展,基金產(chǎn)品的需求不斷增加,所以證券投資基金在資本市場上逐漸表現(xiàn)出其積極性和重要性。但是我國基金市場還不成熟,體制還不健全,基金運作和管理水平參差不齊,基金產(chǎn)品的市場表現(xiàn)差距較大,即使相同管理公司管理的的基金其市場表現(xiàn)有很大不同,究竟是什么原因影響了基金的表現(xiàn),投資者又該如何綜合評價基金績效,這些都是亟待解決的問題。所以,本文將其作為研究目的和方向。 本文對評價基金績效的多種方法進行比較,總結了其優(yōu)缺點,再此基礎上提出了主客觀約束的基金績效評價方法,綜合評價基金績效,并建立了基于信息熵和粒子群優(yōu)化算法基金評價體系優(yōu)化方法。根據(jù)基金績效的影響因素,本文選取了基金的風險、收益、風險調整收益、基金費用、基金經(jīng)理能力水平等六大類、十三個指標,通過建立的模型和優(yōu)化方法,對10支基金在2009年度的業(yè)績表現(xiàn)做出綜合評價,并給出了10支樣本基金在2009年的綜合績效排名情況。結果顯示,論文提出的方法切實可行,能夠兼顧考慮投資者主觀意愿和基金客觀表現(xiàn),并給出基金績效/的有效評價。
[Abstract]:The securities investment fund in China from generation to development has experienced more than ten years, the development speed of the fund industry in recent years is very fast, the fund size of exponential growth rate has reached 4 billion times when it was founded. With the continuous development of our economy, the increasing demand for fund products, so the securities investment funds in the capital market gradually showing its importance and enthusiasm. But China's fund market is not mature, system is not perfect, fund operation and management level uneven, fund product market performance gap, even if the same fund management companies in the market is very different, what are the reasons affecting the fund's performance. Investors and the performance evaluation of funds, these are the problems to be solved. Therefore, this paper takes it as the research purpose and direction.
This paper compares several methods of fund performance evaluation, summarizes its advantages and disadvantages, and then put forward on this basis the fund performance evaluation methods of subjective and objective constraints, performance evaluation of funds, and the establishment of information entropy and particle swarm optimization algorithm based on fund evaluation system optimization method. According to the factors affecting the performance of the fund, this paper selects the fund risk, income, risk adjusted returns, fund cost, fund manager ability in six categories, thirteen indicators, through the establishment of the model and optimization method, make a comprehensive evaluation of 10 funds in the 2009 annual performance, and gives the 10 samples of the Fund ranked in the comprehensive performance of the situation in 2009. The results show that the proposed method is feasible and can take into consideration the subjective intention and objective performance of fund investors, and gives the fund performance evaluation.

【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1367983