| 基于小波分析的多期夏普比率及实证研究 |
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| 引用本文： | 金秀,刘洋. 基于小波分析的多期夏普比率及实证研究[J]. 管理工程学报, 2009, 23(1): 154-157 |
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| 作者姓名： | 金秀 刘洋 |
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| 作者单位： | 1. 东北大学工商管理学院,辽宁沈阳,110004
2. 中国农业发展银行天津分行,天津,300061 |
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| 摘 要： | 用风险价值代替标准差作为夏普比率中投资组合风险的度量,并应用修正的VaR计算方法解决收益率序列非正态分布时的风险度量问题.进一步地将小波分析引入夏普比率,利用小波函数的尺度变化与不同的投资期限相时应,建立了基于小波分析的多期夏普比率评价模型,并以我国经济背景为依托,选择上证八只封闭式基金进行研究.结果表明,把小波分析引入夏普比率可以解决投资组合业绩的多期评价问题.
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| 关 键 词： | 多期业绩评价 夏普比率 小波分析 |
Multi-horizon Sharpe Ratios Based on Wavelet Analysis and Empirical Study |
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| JIN Xiu,LIU Yang. Multi-horizon Sharpe Ratios Based on Wavelet Analysis and Empirical Study[J]. Journal of Industrial Engineering and Engineering Management, 2009, 23(1): 154-157 |
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| Authors: | JIN Xiu LIU Yang |
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| Affiliation: | 1.School of Business Administration;Northeastern University;Shengyang 110004;China;2.Agricultural Development Bank of China;Tianjin Branch;Tianjin 300061;China |
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| Abstract: | Standard deviation in Sharpe Ratio is substituted with VaR and a calculation method of modified VaR is used to solve problems of evaluation when returns are not distributed normally.On second thoughts,Multi-horizon Sharpe Ratio model is established using wavelet analysis in Sharpe Ratio through making different scale of wavelet function match different horizon.Based on the background of domestic economy,the result of eight funds of Shanghai equity market shows that Sharpe Ratio using wavelet analysis can de... |
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| Keywords: | MVaR |
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