主要的分析工具有:(1)投资组合分析理论(由Markowitz均值方差理论衍生,见[1][2][3]),(2)股票市场定价理论(随机游走理论,见[4]),(3)CAPM理论(见[5])。大体分析框架如下:根据投资组合分析理论,共同基金的选择共需分三步,首先把对个股表现的预测转化为对投资组合(即基金本身)表现的预测,其次在海量的投资组合...
Jensen (1969) does not find that good subsequent performance follows good past performances. Carhart (1992) documents that persistence in expense ratios drives persistence in mutual fund performance.证明了费用比率的持续性推动了共同基金业绩的持续性。 Data Description Mutual fund data Monthly data from ...
Mutual fund performanceKarlsson, Thomas
fundmutual共同基金performancewermers绩效 MutualFundPerformance:AnEmpiricalDecompositionintoStock-PickingTalent,Style,TransactionsCosts,andExpensesRussWermersCampusBox419GraduateSchoolofBusinessAdministrationUniversityofColoradoatBoulderBoulder,CO80309February2000Forthcoming,TheJournalofFinanceMutualFundPerformance:AnEmpiricalDecompo...
Mutual Fund Performance and Manager Style. J.L. Davis, FAJ, Jan/Feb 01 Various studies examined the evidence of persistence in mutual fund performance. General consensus is that a few fund managers do tend to consistently appear near the top of the return rankings. Mutual Fund Performance and...
表现稳定,表现持续性
表现稳定,表现持续性
fundmutualperformance绩效benchmarksreturns Mutualfundperformanceandseeminglyunrelatedassets?·Lubo·sP¶astora,¤,RobertF.Stambaughb,caGraduateSchoolofBusiness,UniversityofChicago,Chicago,IL60637,USAbTheWhartonSchool,UniversityofPennsylvania,Philadelphia,PA19104,USAcTheNationalBureauofEconomicResearchApril2001AbstractEs...
网络夏普指标 网络释义 1. 夏普指标 政大机构典藏:Item 140.119/35140 ... 郭维裕 Kuo,Wei-yu夏普指标Mutual Fund Performance李恺莉 Li,Kai-Li ... nccuir.lib.nccu.edu.tw|基于 1 个网页 例句 释义: 全部,夏普指标
WAEMU (West Africa) Mutual fund performance: An empirical decomposition into stock picking and market timing of managers //www.stanford.edu/~wfsharpe/art/sr/sr.htm Wermers, 2003 Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses...