基于高阶矩的基金绩效考核模型  

Fund Performance Measures Based on Higher-moments

作　　者：郑振龙[1] 黄文彬[1] 

机构地区：[1]厦门大学金融系,福建厦门361005

出　　处：《厦门大学学报（哲学社会科学版）》2009年第4期72-78,共7页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

基　　金：教育部"国际金融危机应对研究"应急项目"金融市场的信息功能与金融危机预警"(2009JYJR051);福建省自然科学基金项目"卖空贸易对证券市场的影响研究"(2009J01316)

摘　　要：目前我国常用的三大经典基金绩效考核模型都是以均值—方差CAPM模型为基础,而均值—方差CAPM模型中的系统性风险只考虑二阶矩风险即波动率,忽略了高阶矩风险。通过在传统CAPM模型中加入零成本的负协偏度投资组合和零成本的正协峰度投资组合作为高阶矩风险溢价可重新解释基金风险与收益间的平衡关系。研究结果显示,众多基金的投资组合中都存在负协偏度风险,基于高阶矩的考核模型优于基于传统CAPM的考核模型。In China today, the three commonly adopted classical models of fund performance measurement are all based on the mean-variance model of CAPM, which only takes account of second-moment volatility risk, i.e. rate of fluctuation, but ignores higher-moment risks. This paper argues that, by adding zero-cost negative coskewness portfolio and zero-cost positive cokurtosis portfolio as the resources of higher-moment risks to the traditional CAPM, the equilibrium between funds＇ risk and returns can be reinterpreted. Our empirical studies indicate that there is a risk of negative coskewneas in many of the Chinese funds＇ portfolios and that the model of performance measurement based on higher-moments is better than those based on the traditional CAPM.

关 键 词：基金绩效考核模型 协偏度 协峰度 

分 类 号：F830[经济管理—金融学]