论我国证 券投资基金绩效评估-财政学专业论文.docxVIP

摘 摘 要 本文共有由五章构成。 第一章首先简单介绍了证券投资基金的基本概念、特点及其分类：接着阐述 了当前在我国进行证券投资基金业绩进行评估的重要性以及基金业绩评估的主 要内容。 第二章是证券投资基金绩效评估的理论基础篇；主要介绍了证券投资基金收 益和风险的衡量方法，着重分析了投资基金风险的测度；针对各种衡量方法的不 足，基于我国资本市场发展状况，提出了投资基金风险测度的优化改良方法，如 基于行为金融学理论基础，引入下侧风险测度我国证券投资基金风险。 第三章阐述了证券投资基金的理论基础：马科维茨的均值一方差理论、因子 模型、资本资产定价模型以及套利定价理论。这些理论模型同时也是进行基金绩 效评估的理论根据。 第四章提出建立我国证券投资基金评价体系，在探讨建立我国投资基金评估 体系的必要性和体系建立所应遵循的原则基础上，参照西方的基金评估体系架 构，初步设想了我国证券投资基金评估体系的框架构成。 最后，文章介绍了证券投资基金的绩效评估方法，着重介绍以现代投资组合 理论为基础的经典的证券投资基金绩效评估方法，并分析了各种评估模型之间的 联系和优、缺点，基于我国证券市场发展的客观现实，对其中一些模型进行改良， 并就证券投资基金绩效评估提出建设性设想。 关键词：证券 基金 绩效评估 分类号：F832．5 On On the Performance Evaluation of Security Fund in China Abstract This academic thesis is composed of five chapters． In chapter one，after a brief introduction of the relevant knowledge of security fund such as the formal concept，characteristic and classification of China security fund．the importancenecessity and main content of security funds performance evaluation have been expounded in succession． Chapter two plays a role as building a base for mutual fund performance evaluation．In this part，comprehensive methods of measuring the retum ratio and risk of security fund are introduced，with an emphasis on mutual fund risk measuring． Inasmuch as traditional methods for risk measurement are of somewhat imperfections， improved mutual fund risk measurement methods are set forth corresponding to the status quo of China capital market． A series of mutual funds theory such as Mean—Variance Model of Markowitz， Single-＆Multi—Factor Model，Capital Asset Pricing Model(CAPM)and Arbitrage Pricing Model(㈣is expounded in chapter three．Those models mentioned above also serve as the theoretic base of security fund performance evaluation． To set up China security fund performance evaluation system is the main theme of chapter four．Envision of the structure of China security fund performance evaluation system has been made after a thorough discuss of the necessity of system building—up and relevant principle needed to abide by in the bu