本文關(guān)鍵詞：我國(guó)證券投資基金績(jī)效評(píng)價(jià)方法研究　出處：《山東大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 基金績(jī)效 綜合評(píng)價(jià) 信息熵 粒子群優(yōu)化算法

【摘要】：我國(guó)的證券投資基金從產(chǎn)生到發(fā)展已經(jīng)經(jīng)歷十幾年,近年來基金業(yè)的發(fā)展速度很快,基金規(guī)模呈幾何速度增長(zhǎng),目前已達(dá)到成立時(shí)的40億倍。隨著我國(guó)經(jīng)濟(jì)的不斷發(fā)展,基金產(chǎn)品的需求不斷增加,所以證券投資基金在資本市場(chǎng)上逐漸表現(xiàn)出其積極性和重要性。但是我國(guó)基金市場(chǎng)還不成熟,體制還不健全,基金運(yùn)作和管理水平參差不齊,基金產(chǎn)品的市場(chǎng)表現(xiàn)差距較大,即使相同管理公司管理的的基金其市場(chǎng)表現(xiàn)有很大不同,究竟是什么原因影響了基金的表現(xiàn),投資者又該如何綜合評(píng)價(jià)基金績(jī)效,這些都是亟待解決的問題。所以,本文將其作為研究目的和方向。 本文對(duì)評(píng)價(jià)基金績(jī)效的多種方法進(jìn)行比較,總結(jié)了其優(yōu)缺點(diǎn),再此基礎(chǔ)上提出了主客觀約束的基金績(jī)效評(píng)價(jià)方法,綜合評(píng)價(jià)基金績(jī)效,并建立了基于信息熵和粒子群優(yōu)化算法基金評(píng)價(jià)體系優(yōu)化方法。根據(jù)基金績(jī)效的影響因素,本文選取了基金的風(fēng)險(xiǎn)、收益、風(fēng)險(xiǎn)調(diào)整收益、基金費(fèi)用、基金經(jīng)理能力水平等六大類、十三個(gè)指標(biāo),通過建立的模型和優(yōu)化方法,對(duì)10支基金在2009年度的業(yè)績(jī)表現(xiàn)做出綜合評(píng)價(jià),并給出了10支樣本基金在2009年的綜合績(jī)效排名情況。結(jié)果顯示,論文提出的方法切實(shí)可行,能夠兼顧考慮投資者主觀意愿和基金客觀表現(xiàn),并給出基金績(jī)效/的有效評(píng)價(jià)。
[Abstract]:The securities investment fund in China from generation to development has experienced more than ten years, the development speed of the fund industry in recent years is very fast, the fund size of exponential growth rate has reached 4 billion times when it was founded. With the continuous development of our economy, the increasing demand for fund products, so the securities investment funds in the capital market gradually showing its importance and enthusiasm. But China's fund market is not mature, system is not perfect, fund operation and management level uneven, fund product market performance gap, even if the same fund management companies in the market is very different, what are the reasons affecting the fund's performance. Investors and the performance evaluation of funds, these are the problems to be solved. Therefore, this paper takes it as the research purpose and direction.
This paper compares several methods of fund performance evaluation, summarizes its advantages and disadvantages, and then put forward on this basis the fund performance evaluation methods of subjective and objective constraints, performance evaluation of funds, and the establishment of information entropy and particle swarm optimization algorithm based on fund evaluation system optimization method. According to the factors affecting the performance of the fund, this paper selects the fund risk, income, risk adjusted returns, fund cost, fund manager ability in six categories, thirteen indicators, through the establishment of the model and optimization method, make a comprehensive evaluation of 10 funds in the 2009 annual performance, and gives the 10 samples of the Fund ranked in the comprehensive performance of the situation in 2009. The results show that the proposed method is feasible and can take into consideration the subjective intention and objective performance of fund investors, and gives the fund performance evaluation.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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