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詹森差别表现指数(Jensen Alpha)是使用较多的一种评价投资组合业绩的指标。进一步分析Bootstrap方法的基本原理,探讨将Bootstrap运用于Jensen Alpha估计的具体过程,从而解决了运用普通最小二乘法(OLS)估计Jensen Alpha存在的缺陷,提高了Jensen Alpha估计的稳健性,对于投资组合业绩的评价具有一定的参考意义。
The Jensen Alpha is a more commonly used indicator of portfolio performance. This paper further analyzes the basic principle of Bootstrap method and explores the specific process of using Bootstrap in Jensen Alpha estimation so as to solve the defect of estimating Jensen Alpha by ordinary least squares (OLS) and improve the robustness of Jensen Alpha estimation. For investment portfolio Performance evaluation has a certain reference value.