基金分离定理的实证和意义探讨  

An Empirical Study of Fund Separation Theorem and a Discussion of its Significance

作　　者：王雪晶[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《科学技术与工程》2011年第3期680-684,共5页Science Technology and Engineering

摘　　要：在基金分离定理方面的实证研究和在现实市场中的意义研究方面的成果较少。利用沪深300指数成分股以及国内市场上主要投资于大盘蓝筹股票的开放型投资基金的期望收益和风险,来验证用这些基金来充当理论中的有效资产组合的情况下,基金分离定理在A股平稳行情和大幅下跌行情下成立,并创新性地探讨了在不同市场行情下,市场组合的有效性,据此推论在市场组合较有效时被动投资比较合意,而市场组合有效性较差时,主动投资更加有意义。基于这些结论,挖掘出了理论的实际意义。Empirical study of Fund Separation Theory seems rare based on specific capital markets, which made this paper innovative. The theorem was examined empirically in China＇ s big-chip market in the efficient frontier approach and I came to the conclusion that the theorem stands when the A share market fluctuates stably and tumbles. Furthermore, I established a ＂market-efficiency-factor＂ to further discuss the phenomenon. And it concludes that when the factor is high, active investment is more significant. Therefore, investors can choose their investment strategy accordingly.

关 键 词：基金分离定理 有效边界 沪深300指数 市场有效性指标 

分 类 号：F830.593[经济管理—金融学]