基于概率权重函数和随机占优准则的开放式基金评级  

Ranking Mutual Funds Using Probability Weighting Function and Stochastic Dominance

作　　者：李昊[1] 

机构地区：[1]北京师范大学珠海分校,广东珠海519087

出　　处：《中国管理科学》2013年第1期23-30,共8页Chinese Journal of Management Science

基　　金：国家社会科学基金资助项目(12CGL017)

摘　　要：传统的开放式基金评级方法存在两个缺陷,首先是忽视了现实中投资者是如何做决策的,假定投资者对利益和损失的主观态度相同;其次是忽略了现实的样本性质,假定随机收益的样本达到渐近正态的规模。通过期望效用的高阶泰勒序列展开建立超额收益的高阶矩和效用函数的关系,以高阶矩为约束条件估计样本的经验概率,再对经验概率进行决策权重调整。在此基础上,通过扩展夏普比和应用随机占优准则进行基金评级,并对645种开放式基金进行了案例分析。There are two methodological flaws in conventional approach on ranking mutual fund. First, the real way of the investor making decision is neglected and it is assumed that the investor has the same aptitude on gain and loss. Second, the properties of empirical sample are ignored and it is assumed that the sample of stochastic returns reaches the size of asymptotic normality population. Based on expectation utility theory, the excess returns are e excess returns and utility function. estimated from sample and adjuste xpanded by high order Taylor series to link the high order moments of Using higher order moments as constraints, the empirical probability is d by decision weight. Based on empirical probability decision adjustment, mutual funds are ranked by Sharpe ratio expansion and stochastic dominance criterion. As a case study, 645 mutual funds are rated with this two indicators.

关 键 词：概率权重函数 随机占优 开放式基金 

分 类 号：F830.91[经济管理—金融学]