| 基于双因素模型的开放式基金投资组合构建研究 |
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| 引用本文： | 夏新平,汪宜霞,朱晓光. 基于双因素模型的开放式基金投资组合构建研究[J]. 当代经济管理, 2005, 27(3): 123-127 |
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| 作者姓名： | 夏新平 汪宜霞 朱晓光 |
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| 作者单位： | 华中科技大学,管理学院,湖北,武汉,430074 |
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| 摘 要： | 流动性和风险性是影响资产价格的重要因素,也是不同类型的开放式基金构建投资组合的重要依据。本文借助于股票分类的流动性——风险性双因素矩阵,建立了开放式基金投资组合构建的双因素模型,并通过绩效检验验证了该模型的合理性和有效性。
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| 关 键 词： | 开放式基金 投资组合 流动性 风险性 双因素矩阵 |
| 文章编号： | 1673-0461(2005)03-0123-04 |
Study on Portfolio of Open-end Funds Based on Double Factor Model |
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| XIA Xin-ping,WANG Yi-xia,ZHU Xiao-guang. Study on Portfolio of Open-end Funds Based on Double Factor Model[J]. Contemporary Economic Management, 2005, 27(3): 123-127 |
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| Authors: | XIA Xin-ping WANG Yi-xia ZHU Xiao-guang |
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| Abstract: | Liquidity and risk , the most important factors that affect the asset prices, are the key considerations of the open-end funds managers when they construct their portfolios. With the liquidity-risk matrix, this paper propose a double-factor model of portfolio constructing for the open-end funds. Through empirical study, the feasibility and efficiency of the model is proven. |
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| Keywords: | open-end funds portfolio liquidity risky double-factor matrix |
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