本文選題：開放式基金 + 業(yè)績評價　； 參考：《浙江大學(xué)》2012年碩士論文

【摘要】：隨著開放式基金的發(fā)展,基金的業(yè)績評價顯得尤為重要。科學(xué)有效的基金業(yè)績評價指標不僅是投資者制定投資決策的參考依據(jù),也是促進基金公司提高投資績效的外部激勵。我國現(xiàn)有的基金業(yè)績評價指標過度側(cè)重基金凈值,對基金收益和風(fēng)險的衡量與計算方法比較落后,容易導(dǎo)致業(yè)績評價謬誤。90年代以來,極值理論的發(fā)展及在金融風(fēng)險管理中的應(yīng)用為準確測算基金業(yè)績指標提供了思路。本文正是將極值理論應(yīng)用到基金的收益和風(fēng)險的測算之中,并在此基礎(chǔ)上構(gòu)建新的指標評價基金的業(yè)績。 本文首先回顧了國內(nèi)外基金業(yè)績評價的主要理論與成果,提出運用極值理論研究基金業(yè)績的意義。然后,本文對基于極值理論的基金業(yè)績評價指標的構(gòu)建進行了理論研究。在理論研究的基礎(chǔ)上,本文運用廣義Pareto模型對17只樣本基金的各項業(yè)績指標進行了測算,并結(jié)合傳統(tǒng)指標進行了比較分析。實證結(jié)果表明：GPD模型能夠更好地擬合基金收益率的尾部分布,利用該模型測算的最大可能能收益Rmax和最大可能風(fēng)險VaR能夠準確地反映基金的潛在收益與風(fēng)險特征；而基于Rmax和VaR的指標平均收益風(fēng)險比RAROC1和極端收益風(fēng)險比RAROC：能夠反映一些傳統(tǒng)指標難以體現(xiàn)的基金風(fēng)險收益特征,評價基金業(yè)績可以把新指標與傳統(tǒng)指標相結(jié)合。
[Abstract]:With the development of open-end funds, the performance evaluation of funds is particularly important.Scientific and effective evaluation index of fund performance is not only the reference basis for investors to make investment decisions, but also the external incentive to promote fund companies to improve their investment performance.The existing fund performance evaluation indexes in our country focus too much on the net value of the fund, and the methods of measuring and calculating the return and risk of the fund are relatively backward, which can easily lead to the falsehood of the performance evaluation since the 1990s.The development of extreme value theory and its application in financial risk management provide ideas for the accurate measurement of fund performance.In this paper, the extreme value theory is applied to the calculation of the income and risk of the fund, and on this basis, a new index is constructed to evaluate the performance of the fund.This paper first reviews the main theories and achievements of fund performance evaluation at home and abroad, and puts forward the significance of using extreme value theory to study fund performance.Then, this paper studies the construction of fund performance evaluation index based on extreme value theory.On the basis of theoretical research, this paper uses the generalized Pareto model to calculate the performance indexes of 17 sample funds, and makes a comparative analysis on the traditional indexes.The empirical results show that the tail distribution of the return rate of the fund can be better fitted by the: GPD model, and the maximum possible return Rmax and the maximum possible risk VaR calculated by the model can accurately reflect the potential income and risk characteristics of the fund.Based on Rmax and VaR, the average income risk ratio (RAROC1) and the extreme income risk ratio (RAROCC) can reflect the characteristics of fund risk and return which are difficult to reflect by some traditional indexes, and the evaluation of fund performance can combine the new index with the traditional index.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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8 勞蘭s，

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