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dc.contributor.advisor沈艺峰
dc.contributor.author涂国珍
dc.date.accessioned2016-02-14T02:51:14Z
dc.date.available2016-02-14T02:51:14Z
dc.date.issued2002-12-23 08:49:18.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/29968
dc.description.abstract证券市场采取积极组合管理包括市场时机的把握和证券的选择,是我国众多投资基金的管理模式,但许多基金(包括优化指数基金)积极组合管理的绩效不够理想,基金资产的流动性风险很大,基金业绩不够稳定。本文根据西方的积极组合管理理论,研究投资基金采取不同的投资模式的业绩表现。通过证券时间序列数据的回归分析,计算个股参数和遴选证券分析样本;用蒙特卡罗模拟方法(MonteCarloSimulation),预测个股和组合值的大小;利用Trynor-Black模型,构造积极组合,跟踪基金的业绩表现;采用横截面分析的方法,以深沪基金管理绩效为标准,检验完全积极投资组合模式基金绩效的高低和稳定性。 第一章引言,简要说...
dc.description.abstractActive portfolio management, including market timing and stock selection, is widely used in Chinese mutual funds industry. However, the actual performance of funds in terms of risk and return is not good and not stable. To effectively and efficiently improve the performance of funds, with the assumption of 4 modes of portfolio, the empirical study of active portfolio management is conducted in the...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=5456&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=2981
dc.subject积极组合
dc.subject证券市场
dc.subject基金管理
dc.subjectActive Portfolio
dc.subjectStock Market
dc.subjectFunds Management
dc.title积极组合管理在我国证券市场的实证研究
dc.title.alternativeThe Empirical Study of Active Portfolio Management in China Stock Market
dc.typethesis
dc.date.replied2002-12-23
dc.description.note学位:工商管理硕士
dc.description.note院系专业:管理学院工商管理教育中心_工商管理硕士(MBA)
dc.description.note学号:X200015065X


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