| 基于最小凸输入需求集方法的基金业绩评价 |
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| 引用本文： | 吴杰,胡达沙,查迎春.基于最小凸输入需求集方法的基金业绩评价[J].运筹与管理,2005,14(6):121-125. |
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| 作者姓名： | 吴杰 胡达沙 查迎春 |
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| 作者单位： | 中国科学技术大学,商学院,安徽,合肥,230026 |
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| 摘 要： | 本文首先回顾了传统基金业绩评价方法，然后运用Chang（1999）的最小凸输入需求集（MCIRS）方法对我国2000年前上市的20只封闭式证券投资基金在2000年的业绩进行综合评价。实证研究表明：同益、景博、汉盛、金鑫、兴和、泰和、天元、普丰共8只基金相对有效，而其余12只基金则相对无效。并将结果与数据包络分析（DEA）的结果进行了比较。
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| 关 键 词： | 封闭式基金 业绩评价 MCIRS方法 |
| 文章编号： | 1007-3221(2005)06-0121-05 |
| 收稿时间： | 12 29 2004 12:00AM |
| 修稿时间： | 2004年12月29 |
Fund Performance Evaluation Based on Minimum Convex Input Requirement Set Approach |
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| WU Jie,HU Da-sha,Zha Ying-chun.Fund Performance Evaluation Based on Minimum Convex Input Requirement Set Approach[J].Operations Research and Management Science,2005,14(6):121-125. |
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| Authors: | WU Jie HU Da-sha Zha Ying-chun |
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| Institution: | Business School, University of Science and Technology of China, Hefei 230026, China |
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| Abstract: | This paper firstly reviews traditional method of fund performance evaluation,then uses Chang's minimum convex input requirement set(MCIRS) approach to evaluate the performance of twenty closed-end funds which listed before 2000 in the year of 2000.The empirical results show that eight funds(Tongyi,Jingbo,Hansheng,Jinxin,Xinghe,Taihe,Tianyuan,Pufeng) are relatively efficient,while the other twelve ones are relatively inefficient.We also compare this conclusion with the one generated from the method of DEA. |
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| Keywords: | closed-end fund performance evaluation MCIRS approach |
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