| 基于动态卡尔曼滤波的基金条件业绩评价 |
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| 引用本文： | 张剑,闫东玲. 基于动态卡尔曼滤波的基金条件业绩评价[J]. 山西财经大学学报, 2011, 0(9): 35-41 |
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| 作者姓名： | 张剑 闫东玲 |
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| 作者单位： | 天津大学管理与经济学部; |
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| 基金项目： | 教育部人文社科项目“中国保险市场与资本市场互动机制与模式研究”(09YJA790147) |
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| 摘 要： | 将基金类型与规模、市场行情、风格飘移、管理费率及流量波动性等条件因素引入TM模型,构建了条件TM模型,并采用卡尔曼滤波对我国2005～2010年间部分基金的选股能力和择时能力进行了检验,实证结果表明,基于卡尔曼滤波的TM模型较条件TM模型有更好的解释能力。研究发现,基金的选股能力与择时能力在不同的市场行情下不尽一致,这...
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| 关 键 词： | 条件绩效 选股能力 择时能力 卡尔曼滤波 |
Conditional Selectivity and Market Timing Performance of Funds within a Dynamic Kalman Filter Framework |
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| ZHANG Jian,YAN Dong-ling. Conditional Selectivity and Market Timing Performance of Funds within a Dynamic Kalman Filter Framework[J]. Journal of Shanxi Finance and Economics University, 2011, 0(9): 35-41 |
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| Authors: | ZHANG Jian YAN Dong-ling |
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| Affiliation: | ZHANG Jian,YAN Dong-ling(School of Management and Economics,Tianjin University,Tianjin 300072,China) |
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| Abstract: | This paper introduces type,size,market condition,style drift,management expense ratio and flow volatility into Treynor and Mazuy model to construct a conditional TM model,and examines conditional selectivity performance and market timing performance of the Chinese funds between 2005-2010 using Kalman filter.The empirical results show the introduction of Kalman filter improved the explanatory ability.The authors also find that selectivity and timing performance are distinct among different categories along t... |
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| Keywords: | conditional performance selectivity market timing Kalman filter |
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