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证券投资基金的绩效评估一直是学术界研究和探讨的焦点,基于期权定价思想的绩效评估模型在前人研究的基础上,增加交易成本条件,使模型更接近现实应用,改进期权执行价格的计算过程,实证研究部分选取了国内10只具有代表性基金的数据进行实证分析,得出分析结果;并将结果与传统绩效评估方法绩效评估的结果进行比较,比较得出该方法的现实适用性;最后对几种方法结果的一致性进行检验。
Performance evaluation of securities investment funds has always been the focus of academic research and discussion. Based on previous studies, the performance evaluation model based on the idea of option pricing increases the transaction cost conditions, brings the model closer to the practical application and improves the calculation of the option execution price Process and the empirical research part selected the data of 10 representative funds in China for empirical analysis and obtained the results of the analysis. The results were compared with those of the traditional performance appraisal methods, and the practical applicability of the method was compared. Finally, the consistency of the results of several methods is tested.