论随机占优理论在基金绩效评价中的应用

现行的建立在均值方差分析基础上的基金绩效评价方法依赖于两个重要假定:风险厌恶的投资者和正态分布的投资风险。然而,一方面越来越多的研究表明这两项假定是难以验证的,另一方面Roll也对建立在均值方差分析基础上的基金绩效评价方法的逻辑基础进行了批判。那么,是否可以避开这两个假定建立一套基金绩效评价方法?本文提出运用随机占优理论可以达到这个目的。

On the Application of Stochastic Dominance in Evaluating the Performance of Mutual Funds

At present, the methods of evaluating performance of mutual funds is dominated by mean- variance analysis, which is based on two main assumptions, risk - averse investors and normal - distributed risks. There is more and more researches demonstrated that it' s hardly to testify these two assumptions. Meanwhile, Roll criticized logical fundaments of mean - variance based performance evaluation of mutual funds. So, can we build a new framework of performance evaluation without these two assumptions. Our paper illustrate that, with stochastic dominance theorem, we can reach the goal.