单形深度中位数在封闭式基金排名中的应用  

Application of Simplicial Depth Median in Closed Fund Ranking

作　　者：陈明星[1] 缪柏其[1] 吴振翔[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026

出　　处：《运筹与管理》2005年第5期103-107,共5页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(10471135);教育部博士点基金;中国科学院和中国科技大学创新基金资助

摘　　要：本文介绍了单形深度函数理论,通过改进夏普指数公式,利用单形深度函数中位数稳健性的特点,将单形深度函数中位数应用于改进的夏普指数公式,对国内的封闭式基金进行了排名与评级,并将其与中信星级和样本星级进行了对比。最后,通过定义基金业绩偏离度提出将其用于评价基金捕捉市场机遇的能力的观点。In this paper, the theory of simplicial depth function is introduced. By ameliorating Sharpe Index Formula and utilizing one of characteristics of simplicial depth function median which possesses robustness, we apply depth function median to ameliorated Sharpe Index Formula, order domestic closed fund and classify them in different star level, then we contrast our result with Zhongxin Star Level and Sample Star Level. At last, by defining Fund Performance Bias Degree, we bring forward the idea that Fund Performance Bias Degree can be used to appraise the capacity of each fund to catch market chance.

关 键 词：单形深度函数 中位数 中信星级 深度星级 样本星级 深度指数 样本指数 

分 类 号：F830.91[经济管理—金融学]