基于状态空间模型的动态基金业绩评价研究

Abstract

Abstract: Previous researches always use constant methods to evaluate the mutual fund's performance. In this paper, the constant coefficient estimates are proned to be unable to accurately evaluate the mutual funds' performance by proving that the constant coefficient estimates consist of time-varying coefficient expectation and other component. Then a SSM model is constructed to reflect the time-varying coefficient based on information variables. In addition, the latest Particle EM algorithm is used to estimate the parameters in SSM. Finally, the timing ability of the mutual funds is compared based on the data of six mutual funds between 2005 and 2011.It is found that time-varying coefficient method is more accurate in performance evaluation.

Key words: mutual funds, performance evaluation, time-varying coefficient, state space model, particle EM algorithm

CLC Number:

F830.91

ZHU Jie, CHEN Lang-nan. The Performance Evaluation of Dynamic Mutual Funds Based on SSM[J]. Chinese Journal of Management Science, 2013, 21(6): 11-21.

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The Performance Evaluation of Dynamic Mutual Funds Based on SSM

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