数据包络分析法在基金业绩评价中的应用  

Application of Data Envelopment Analysis to Funds Performance Evaluation

作　　者：廖华[1] 廖小荣[2] 

机构地区：[1]中国科学院科技政策与管理科学研究所 [2]华南师范大学经济管理学院

出　　处：《管理学报》2005年第5期542-545,550,共5页Chinese Journal of Management

摘　　要：把数据包络分析法(DEA)引入到基金业绩评价中,以基金本身为参照物对各基金业绩进行横向比较,避免了整个证券市场环境,也包括经济、法律、政策环境等系统因素(外生变量)造成的影响。用DEA对2002年度我国46只证券投资基金的相对绩效进行了评价。最后对DEA在基金业绩评价中的进一步研究提出了一些问题和建议。DEA was introduced into funds performance evaluation. On the basis of funds performance, different types of funds were compared horizontally to avoids the influence of system factors （exogenous variables）, such as the security market （including the economic, legal and policy environments）. The relative performances of 46 security funds in 2002 were also estimated through DEA. Finally some questions and advices of further funds performance evaluation study with DEA were put forward.

关 键 词：数据包络分析 基金业绩评价 非参数方法 

分 类 号：F830[经济管理—金融学] F832