本文選題：股票型基金 + DEA模型��； 參考：《上海師范大學》2013年碩士論文

【摘要】：本文將研究的對象放在開放式股票型基金的效率研究上，根據(jù)企業(yè)能力理論觀點（企業(yè)的目標即在于通過其所擁有的特殊能力資源來贏得市場競爭中的優(yōu)勢地位，從而獲取超額利潤或經濟租金的最大化），認為影響基金效績的因素主要是基金的運營效率即運行有效,它反映著組織效率和服務效率，通過加入計量經濟模型，對基金績效進行量化分析。 本文主要使用DEA模型以及超效率DEA模型對基金績效進行評價，通過將能反映基金內部基金運行效率的指標作為輸入產出指標，同時對其進行了降維處理。然后再運用DEA模型對降維前后的數(shù)據(jù)進行評估，得出績效評價結果，通過比較分析得出結論。接著將數(shù)據(jù)帶入超效率DEA模型進行評估。分析基金的績效，并對基金績效影響因素進行分析。 本文從分析基金績效評價方法、基金績效評價體系和基金運作情況入手，借鑒了相關的理論和研究成果，運用DEA和超效率DEA方法評價了基金的績效，通過研究和實證得到以下主要結論: 1、本文首先運用了DEA方法對基金績效進行評價。再根據(jù)輸入指標和產出指標選取不宜過多的原則，對六個指標進行了降維處理，得到三個指標，將其中兩個作為輸入指標一個作為產出指標，再使用模型對其績效進行評估。最終得出結論，雖然經過降維處理過后的有效單元個數(shù)有所減少，但也因為主成分主法的局限性，導致一些決策單元效率值的大幅變化。從而，本文認為在指標個數(shù)不夠大，指標所包括的信息量不夠多的情況下，不宜采用主成分分析方法對指標進行降維處理。 2、運用超效率DEA對樣本進行了分析，分別得出了它們的效率值，并能夠很好的對其進行排名。超效率DEA模型是在DEA模型基礎上通過刪除估計的決策單元本身的約束條件所得到的，故其得出的效率值可以大于1，因而能夠對決策單元進行排名，因而本文認為，在指標個數(shù)不夠大的情況下，我們不需要采用主成分分析對數(shù)據(jù)進行預先處理，，而直接通過超效率DEA模型我們就能對樣本進行很好的評估。
[Abstract]:In this paper, the research object is put on the efficiency research of open-end equity fund. According to the theory of enterprise capability (the goal of enterprise is to win the advantage position in the market competition through the special ability resources of the enterprise, the goal of the enterprise is to win the advantage position in the market competition through the special ability resource of the enterprise. In order to obtain the maximum of excess profit or economic rent, it is considered that the main factor affecting the fund performance is that the fund's operational efficiency is effective, which reflects the organizational efficiency and service efficiency, and by adding the econometric model, Quantitative analysis of fund performance. This paper mainly uses the DEA model and the super-efficiency DEA model to evaluate the performance of the fund. By taking the index which can reflect the efficiency of the fund's internal fund operation as the input and output index, the paper also deals with the dimensionality reduction. Then the DEA model is used to evaluate the data before and after dimensionality reduction, and the results of performance evaluation are obtained. Then the data is brought into the super-efficient DEA model for evaluation. This paper analyzes the performance of the fund, and analyzes the influencing factors of the performance of the fund. This paper starts with the analysis of fund performance evaluation method, fund performance evaluation system and fund operation, draws lessons from relevant theories and research results, and evaluates the fund performance by using DEA and super efficient DEA methods. The main conclusions are as follows: 1. Firstly, this paper uses DEA method to evaluate fund performance. Then according to the principle that the input index and output index should not be too much, the dimensionality reduction treatment of the six indexes is carried out, and three indexes are obtained, two of which are taken as input index and one as output index, and then the performance is evaluated by using the model. Finally, it is concluded that although the number of effective units after dimensionality reduction has been reduced, the efficiency of some decision making units has been greatly changed due to the limitation of principal component principal method. Therefore, this paper holds that the principal component analysis method should not be used to reduce the dimension of the index when the number of indicators is not large enough and the amount of information included in the index is not enough. 2. The super-efficiency DEA is used to analyze the samples, and their efficiency values are obtained, and they can be ranked well. The super-efficiency DEA model is obtained by deleting the constraints of the estimated decision unit itself on the basis of the DEA model, so its efficiency value can be greater than 1, so it can rank the decision making unit. When the number of indicators is not large, we do not need to use principal component analysis to pre-process the data, but directly through the super-efficient DEA model we can do a good evaluation of the sample.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

【參考文獻】

相關期刊論文 前10條

1 劉霞;證券投資基金績效評價方法及實證分析[J];商業(yè)研究;2004年05期

2 吳慶田;肖賽君;;基于DEA方法的封閉式基金相對績效和持續(xù)性研究[J];財經理論與實踐;2007年04期

3 史代敏;我國證券投資基金投資業(yè)績的實證分析[J];管理現(xiàn)代化;2000年06期

4 屠新曙,段琳琳;經典詹森指數(shù)績效衡量方法的有效性研究及改進——來自中國基金市場的檢驗[J];管理科學;2005年02期

5 陳衍泰,陳國宏,李美娟;綜合評價方法分類及研究進展[J];管理科學學報;2004年02期

6 王宗軍;綜合評價的方法、問題及其研究趨勢[J];管理科學學報;1998年01期

7 陳彥玲,胡麗霞;我國開放式基金績效評價的實證研究[J];經濟與管理研究;2003年02期

8 王守法;我國證券投資基金績效的研究與評價[J];經濟研究;2005年03期

9 李學峰;茅勇峰;張艦;;我國證券投資基金的投資行為與投資績效——基于風險與收益最優(yōu)匹配視角的研究[J];金融理論與實踐;2008年03期

10 陳信元,張?zhí)镉?陳冬華;預期股票收益的橫截面多因素分析:來自中國證券市場的經驗證據(jù)[J];金融研究;2001年06期

相關博士學位論文 前1條

1 張文璋;我國基金業(yè)績評價的實證研究[D];廈門大學;2002年

相關碩士學位論文 前2條

1 彭艷艷;基于DEA的中國證券投資基金業(yè)績評價研究[D];河海大學;2006年

2 曹麗;股票型開放式基金業(yè)績評價體系研究[D];山東大學;2008年

本文編號：1844493