基于SV-AJD模型参数的Malmquist DEA投资组合动态效率评价方法  

Dynamic Efficiency Evaluation Method of Malmquist DEA Portfolio Based on SV-AJD Model Parameters

作　　者：高峰 郑长敬 李泽西 董纪昌 GAO Feng;ZHENG Chang-jing;LI Ze-xi;DONG Ji-chang(School of Economics and Management,UCAS,Beijing 100190,China;Key Laboratory of Big Data Mining and Knowledge Management,Chinese Academy of Science,Beijing 100190,China)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中国科学院大数据挖掘与知识管理重点实验室,北京100190

出　　处：《数学的实践与认识》2022年第3期222-239,共18页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71403260,71573244,71532013,71850014,71974180);中国科学院青年创新促进会优秀会员经费资助;北京共建项目专项资助。

摘　　要：主要构建了基于SV-AJD模型参数的Malmquist DEA投资组合动态效率评价方法.模型纳入了传统DEA模型未考虑的单位净值相关指标和非单位净值相关指标,并使用本征向量法对5个输入指标和5个输出指标进行加权,综合为单个输入和单个输出指标,克服模型的多维失真.实证过程中,分别对13个类别共172只基金在牛市和熊市情景下的长期稳定收益能力、长期风险控制能力、稀有事件收益能力、稀有事件风险控制能力和DEA效率指标进行比对,分析投资组合特征.最后对市场由牛转熊的过程中,进行Malmquist动态效率指标测算.This paper constructs a dynamic efficiency evaluation method of Malmquist DEA portfolio based on SV-AJD model parameters.The model incorporated the net value related indexes and non net value related indexes that the traditional DEA model does not take into account,and using the eigenvector method to weight 5 input indicators and 5 output indicators,and integrate them into single input and single output indicators,overcoming the multidimensional distortion of the model.In the empirical process,the portfolio characteristics of a total of 172 funds within 13 categories in the bull market and bear market under the situation of long-term stable profitability,long-term risk control ability,rare event profitability,rare event risk control ability and the DEA efficiency index are examined.Finally,the dynamic Malmquist efficiency index in the process of transferring from bull market to bear market is calculated.

关 键 词：Malmquist DEA SV-AJD模型 DEA效率 Malmquist动态效率 隐变量MCMC 

分 类 号：F224[经济管理—国民经济] F830