证券投资基金业绩的随机占优检验  

Empirical study using stochastic dominance test on investment funds performance

作　　者：李德辉[1] 方兆本[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026

出　　处：《中国科学技术大学学报》2007年第7期762-766,共5页JUSTC

基　　金：国家自然科学基金(70141015)资助

摘　　要：将随机占优引入基金业绩评估,发现:如果投资者只关心收益率,则基金与市场指数业绩不存在明显优劣关系,如果投资者同时兼顾收益与风险,则基金优于市场指数.总之,没有充分证据表明基金明显劣于市场指数表现,现有的主流评估方法可能低估了基金经理的投资能力.With the application of stochastic dominance, it was found that investment funds do not dominate the market or are not dominated by it when only return is considered. However, investment funds dominate the market when both risk and return are considered. There is not enough evidence to prove that investment funds are dominated by the market, and popular methods used previously may underestimate the performance of fund managers.

关 键 词：投资基金 业绩评估 夏普指数 随机占优 

分 类 号：F830.91[经济管理—金融学]