双风险度量下封闭式基金业绩的数据包络分析  

Data Envelopment Analysis of Closed-End Fund Performance under Dual-Risk Measurement

作　　者：罗洪浪[1] 王浣尘[1] 田中甲 

机构地区：[1]上海交通大学管理学院,上海200030 [2]中信证券上海溧阳路营业部财务室,上海200000

出　　处：《系统工程》2003年第5期94-100,共7页Systems Engineering

摘　　要：数据包络分析 (Data Envelopment Analysis,DEA)是一种广泛运用于相对绩效评估的系统分析方法 ,将一多输入单输出 DEA模型引入证券投资基金业绩评价 ,其中输出为基金收益 ,而输入则为管理费用、交易成本、标准差和 Va R。随后 ,利用该模型对 2 0 0 0年以前上市的 2 0只基金在 2 0 0 0年、2 0 0 1年及2 0 0 0～ 2 0 0 1年间的业绩进行了评价 ,并发现 :在所有评价期 ,基金安顺、兴和和金鑫的业绩相对有效 ,基金裕隆和景宏相对较无效 。Data Envelopment Analysis(DEA) is a system analysis methodology which is widely used to evaluate relative performance. This paper introduces a multiple inputs single output DEA model,which considers output as fund returns and as inputs management expenses, transaction cost, standard deviation, and VaR, to evaluate securities investment fund performance. Subsequently, the performance in 2000, 2001, and 2000~2001 of twenty closed end funds that have listed before 2000 is evaluated, and the finding is:Anshun,Xinghe,and Jinxing are relatively efficient and Yulong and Jinghong are relatively more inefficient in all evaluation periods, and their relative performance is all short term persistence.

关 键 词：封闭式基金业绩 数据包络分析 风险度量 数学规划 证券市场 

分 类 号：F830.91[经济管理—金融学]