本文關(guān)鍵詞：貝葉斯方法在私募基金業(yè)績評價(jià)中的應(yīng)用　出處：《浙江財(cái)經(jīng)學(xué)院》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 私募基金 貝葉斯方法 先驗(yàn)信息 業(yè)績評價(jià)

【摘要】：近年來,隨著我國證券投資基金業(yè)的迅速發(fā)展,如何正確分析和評價(jià)基金業(yè)績,建立適用于中國證券市場的基金業(yè)績評價(jià)方法和體系對投資者正確決策以及基金業(yè)的健康穩(wěn)定發(fā)展具有重要的理論和現(xiàn)實(shí)意義。但是目前的基金業(yè)績評價(jià)方法主要是針對公募基金,一般是根據(jù)歷史數(shù)據(jù)采用傳統(tǒng)的風(fēng)險(xiǎn)調(diào)整方法,而新方法卻提出較少,傳統(tǒng)方法盡管有利于評價(jià)的客觀性,但是卻沒有重視投資者在實(shí)際決策時(shí)將自己關(guān)于基金業(yè)績狀況的的直覺和經(jīng)驗(yàn)融入到其業(yè)績評價(jià)當(dāng)中。另一方面,作為證券市場新興力量的私募基金在業(yè)績評價(jià)方面尚處于起步階段,發(fā)展相對滯后,也存在很多不足。基于以上原因,本文以傳統(tǒng)基金業(yè)績評價(jià)方法和體系為基礎(chǔ),將私募證券投資基金業(yè)績評價(jià)作為研究核心,結(jié)合中國私募基金及業(yè)績評價(jià)現(xiàn)狀,研究了貝葉斯統(tǒng)計(jì)推斷方法在私募基金業(yè)績評價(jià)中的應(yīng)用。與傳統(tǒng)方法不同,該方法從投資者角度出發(fā),強(qiáng)調(diào)了投資者先驗(yàn)信息對基金業(yè)績評價(jià)的影響。 本文按照基金業(yè)績評價(jià)理論方法回顧——貝葉斯方法研究——建立貝葉斯業(yè)績評價(jià)模型——實(shí)證分析的邏輯思路評價(jià)私募基金業(yè)績,首先通過直覺問題引出先驗(yàn)信息并由此建立了一個(gè)關(guān)于基金管理技能的先驗(yàn)信息集合;然后將這些先驗(yàn)信息與Jensen測度模型相結(jié)合,進(jìn)而導(dǎo)出模型中的截距項(xiàng)的后驗(yàn)期望代數(shù)解;最后運(yùn)用貝葉斯業(yè)績評價(jià)指標(biāo)對我國2008年7月1日前成立的87只陽光私募基金樣本進(jìn)行實(shí)證分析(樣本期為2008年7月1日到2011年6月30日)并全面總結(jié)分析結(jié)果。實(shí)證研究表明,貝葉斯方法不僅使我們看到先驗(yàn)信息如何影響投資者的最終決策,同時(shí)也可以較好的解決經(jīng)典評價(jià)方法的結(jié)果很大程度受數(shù)據(jù)精度和顯著性水平因素影響的問題。 全文由以下五部分組成:第一章:深入分析國內(nèi)外相關(guān)研究背景及現(xiàn)狀,提出選題背景和意義。第二章:首先簡要論述私募基金發(fā)展歷史及現(xiàn)狀,然后對基金業(yè)績評價(jià)原理及現(xiàn)有業(yè)績評價(jià)方法進(jìn)行了回顧與小結(jié)。第三章:詳細(xì)介紹貝葉斯業(yè)績評價(jià)方法,主要包括介貝葉斯統(tǒng)計(jì)推斷的思想及其本質(zhì),舉例說明它和經(jīng)典業(yè)績評價(jià)方法的不同之處,建立相關(guān)模型并進(jìn)行數(shù)學(xué)推導(dǎo)。第四章:對我國證券市場的陽光私募證券投資基金進(jìn)行貝葉斯方法的實(shí)證分析并得出實(shí)證結(jié)果和結(jié)論。第五章,對全文進(jìn)行總結(jié)并指出本文的不足。 在研究方法上,本文采用了從理論到實(shí)證,定性分析和定量分析相結(jié)合的方法以及比較分析法等,定性分析的方法如對先驗(yàn)信息與業(yè)績評價(jià)的經(jīng)濟(jì)環(huán)境的探討等,定量分析的方法如似然率與先驗(yàn)分布模型的建立,先驗(yàn)分布的引出與后驗(yàn)分布模型的建立,以及以基準(zhǔn)超額收益率為自變量,基金的超額收益率為因變量進(jìn)行一元回歸分析與顯著性檢驗(yàn)等。比較分析法,如將貝葉斯業(yè)績評價(jià)方法與傳統(tǒng)的頻率方法的評價(jià)結(jié)果進(jìn)行對比分析,說明其相對傳統(tǒng)頻率分析方法的優(yōu)越性所在。本文的創(chuàng)新之處主要有以下幾點(diǎn):(1)近年來國內(nèi)少有私募基金業(yè)績評價(jià)方法的研究,本文可以算是這方面的一個(gè)嘗試;(2)首次將貝葉斯模型用于私募基金業(yè)績評價(jià),充分利用了先驗(yàn)信息的作用;(3)對原有的貝葉斯方法的基金評價(jià)模型中的先驗(yàn)分布模型進(jìn)行了改進(jìn),以使其更真實(shí)的反映現(xiàn)實(shí)情況。 面對我國私募基金市場的快速發(fā)展和市場參與方對正確客觀評價(jià)私募基金業(yè)績水平的現(xiàn)實(shí)需要,本文的研究不僅展示了貝葉斯方法同經(jīng)典業(yè)績評價(jià)方法的不同之處,即投資者的先驗(yàn)信息會如何影響其投資決策,而且還為私募證券投資基金業(yè)績評價(jià)提供了一個(gè)嶄新的視角和方法,具有很強(qiáng)的理論價(jià)值,這可能會豐富目前的私募基金業(yè)績評價(jià)理論,使我國私募基金的參與者受到啟發(fā),有助于引導(dǎo)社會資源更多的流向擁有成熟、理性投資理念的基金管理人,實(shí)證結(jié)論對于指導(dǎo)投資者進(jìn)行投資決策也具有積極的現(xiàn)實(shí)意義。
[Abstract]:In recent years, with the rapid development of China's securities investment fund industry, how to correctly analyze and evaluate the performance of the fund, has important theoretical and practical significance to establish funds performance evaluation methods and system for China stock market steady development of investors to make decisions as well as the fund industry's health. But the present methods of fund performance evaluation is mainly aimed at the public offering of the fund, is generally based on historical data of risk adjusted using the traditional method, the new method has less traditional methods proposed, although conducive to the objectivity of the evaluation, but no attention in the actual investment decision when he condition on the performance of the fund's intuition and experience to the performance evaluation. On the other hand, as a rising power in the securities market, private equity funds in terms of performance evaluation is still in its infancy, the development is lagging behind, there are also many problems based on. Based on the above reasons, the traditional fund performance evaluation method and system as the basis, the private securities investment fund performance evaluation as the core of research, combined with the status quo of Chinese private fund and performance evaluation, study the Bayesian statistical inference method in evaluation of private equity fund performance should be used. Unlike the traditional method, this method from the perspective of investors, stressed the influence of investors prior information on fund performance evaluation.
In this paper, according to the evaluation of fund performance -- a review of Bias theory research on the methods of establishing Bias performance evaluation model -- An Empirical Analysis of the logic of private equity fund performance evaluation, the first problem by intuition a priori information and thus establish a fund management skill set of prior information; and then combine these prior information and Jensen model to measure the phase. And then export the model in the intercept of the posterior expectation of algebraic solution; finally using the Bias performance evaluation index to analyze the 87 sunshine private equity fund samples established in China before July 1, 2008 (sample period from July 1, 2008 to June 30, 2011) and a comprehensive summary of the analysis results. The empirical study shows that the Bias method not only enables us to see how the effect of prior information the final decision of the investors, but also can solve the classic evaluation well The result of the method is largely influenced by the accuracy of the data and the level of the level of significance.
This paper consists of five parts: the first chapter: in-depth analysis of relevant research background and current situation at home and abroad, put forward the background and significance. The second chapter: first briefly discusses the history and current situation of the development of private equity funds, then the principle of fund performance evaluation of existing performance evaluation methods for review and summary. The third chapter introduces the method of Bias: performance evaluation, including the idea and essence of Bias statistical inference, illustrate the difference between it and the classical performance evaluation methods, models and mathematical derivation. The fourth chapter is the empirical analysis of Bias of China's securities market sunshine private securities investment fund and draw empirical results and conclusion. In the fifth chapter. A summary of the thesis and points out the shortcomings.
In research methods, this paper from theory to empirical methods, qualitative analysis and quantitative analysis and comparative analysis, qualitative analysis methods such as the prior information and performance evaluation of the economic environment and so on, the quantitative analysis methods such as the likelihood ratio and the establishment of the prior distribution of the model, the prior distribution of lead with the establishment of the posterior distribution model, and the benchmark excess return rate as independent variables, the fund excess return rate as the dependent variable for regression analysis and significance test. The comparison analysis method, such as the evaluation method of Bias frequency performance evaluation method and the results were analyzed to illustrate the relative superiority the traditional frequency analysis method. The main innovations of this paper are as follows: (1) research in recent years, few domestic private equity fund performance evaluation method, this paper can be considered in this regard One attempt; (2) first, the Bias model was applied to the performance evaluation of private equity funds, making full use of the role of a priori information; (3) the prior distribution model of the original Bias's fund evaluation model was improved to make it more realistic.
We need to face the correct evaluation of private equity fund performance level of reality in the rapid development of the market of China's private equity fund and the market, this research not only shows the difference with the classical performance evaluation method of Bayesian method, in which investors prior information will be how to influence their investment decisions, but also provides a brand-new method the performance evaluation of private securities investment fund, has a strong theoretical value, which may enrich the current private equity fund performance evaluation theory, so that China's private equity fund participants were inspired to help guide social resources to more mature, rational investment fund management, the empirical conclusion also has the reality positive significance in guiding the investor to make investment decisions.

【學(xué)位授予單位】：浙江財(cái)經(jīng)學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊大楷;蔡錦濤;;基于DEA方法的開放式證券基金業(yè)績評價(jià)[J];安徽大學(xué)學(xué)報(bào)(哲學(xué)社會科學(xué)版);2008年02期

2 張昱;;基于詹森阿爾法的開放式基金業(yè)績評價(jià)[J];財(cái)貿(mào)經(jīng)濟(jì);2007年07期

3 何玲;;私募股權(quán)投資基金的業(yè)績評價(jià)指標(biāo)體系[J];商業(yè)經(jīng)濟(jì);2009年06期

4 景乃權(quán);資本資產(chǎn)定價(jià)模型及其評述[J];經(jīng)濟(jì)學(xué)家;2000年04期

5 陳曉麗;;陽光私募證券投資基金業(yè)績評價(jià)分析[J];經(jīng)濟(jì)研究導(dǎo)刊;2010年26期

6 王聰;證券投資基金績效評估模型分析[J];經(jīng)濟(jì)研究;2001年09期

7 張文璋,陳向民;方法決定結(jié)果嗎——基金業(yè)績評價(jià)的實(shí)證起點(diǎn)[J];金融研究;2002年12期

8 殷潔;私募基金的合法化及其風(fēng)險(xiǎn)控制[J];金融與經(jīng)濟(jì);2004年11期

9 惠曉峰,遲巍;運(yùn)用RAROC方法對我國證券投資基金業(yè)績評估的分析[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2002年11期

10 薛和生;鄭波;傅強(qiáng);;論我國私募基金陽光化[J];上海師范大學(xué)學(xué)報(bào)(哲學(xué)社會科學(xué)版);2008年04期

，

本文編號：1412371