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依据均值-方差规则,给出了同时存在证券数量变化、证券之间相互扰动、允许卖空机制约束条件下,资产组合有效前沿变动的统一分析框架和数理证明结果.基于证明结果,使用夏普比率作为绩效评价工具,实证发现74只开放式基金的动态绩效在考察期内并不显著,且不同类别开放式基金的绩效结果之间也不存在显著差异.研究丰富了动态资产组合理论,并为评判机构投资者资产组合绩效和资本市场建设效果提供了新视角和证据.
Based on the mean-variance rule, a uniform analytical framework and mathematical proofs of the effective frontier changes of the portfolio under the condition of the change of the number of securities, the mutual perturbation of securities and the restriction of short sale mechanism are given. Based on the proof results, As a performance appraisal tool, it is found that the dynamic performance of 74 open-end funds is not significant during the survey period, and there is no significant difference between the performance of different types of open-end funds.Studies enrich the dynamic portfolio theory and Judging the institutional investors portfolio performance and capital market construction provides a new perspective and evidence.