| 证券投资基金业绩度量模型探析 |
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| 引用本文： | 马文霞.证券投资基金业绩度量模型探析[J].价值工程,2010,29(19):19-20. |
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| 作者姓名： | 马文霞 |
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| 作者单位： | 西安邮电学院理学院,西安,710061 |
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| 摘 要： | 证券投资基金是中国资本市场上一支重要的力量,对其业绩进行客观评价是一项极其复杂的系统工程。本文试图运用风险调整收益的思想,分别选取风险价值VAR与尾条件期望CVAR的加权平均、以及ARCH模型计算出来的条件异方差作为风险测度指标,建立基金业绩评价模型。
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| 关 键 词： | 风险调整收益RAROC 加权平均损失 ARCH模型 |
The Model of Measuring Securities Investment Funds Performance |
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| Ma Wenxia.The Model of Measuring Securities Investment Funds Performance[J].Value Engineering,2010,29(19):19-20. |
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| Authors: | Ma Wenxia |
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| Institution: | Ma Wenxia (School of Mathematics and Physics,Xi＇an University of Post and Telecommunications,Xi＇an 710061,China) |
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| Abstract: | Securities investment funds is an important strength on Chinese capital market,evaluating performance is a complicated system engineering.This paper set-up model of evaluating performance using the method of risk adjusted return on capital,with the aid of all average to add and ARCH. |
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| Keywords: | risk adjusted return on capital add and lose completely equally ARCH model |
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