基于期权定价思想的基金绩效评估研究  

Performance Assessment of Security Investment Funds based on Option Pricing Theory

作　　者：赵中秋[1] 李静[1] 李金林[1] 

机构地区：[1]北京理工大学管理与经济学院,北京100081

出　　处：《数学的实践与认识》2012年第7期63-70,共8页Mathematics in Practice and Theory

基　　金：高等学校博士学科点专项科研基金(200800070021)

摘　　要：证券投资基金的绩效评估一直是学术界研究和探讨的焦点,基于期权定价思想的绩效评估模型在前人研究的基础上,增加交易成本条件,使模型更接近现实应用,改进期权执行价格的计算过程,实证研究部分选取了国内10只具有代表性基金的数据进行实证分析,得出分析结果;并将结果与传统绩效评估方法绩效评估的结果进行比较,比较得出该方法的现实适用性;最后对几种方法结果的一致性进行检验。Performance evaluation of investment funds has been the focus of academic research and study. The thesis based on the option pricing ideas and previous studies improved the calculation process of strike price and made the model more realistic by considering the cost factor. The empirical analysis part of the thesis selects 10 representative fund of China which results are compared with that of the traditional performance evaluation to get the actual applicability of the method. At last, the final results of the consistency of several methods were tested via SPSS.

关 键 词：基金绩效评估 期权定价 组合保险 

分 类 号：F224[经济管理—国民经济] F832.51