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題 名 | 運用隨機優勢理論及區別分析建構共同基金投資策略=The Use of Stochastic Dominance and Discriminate Analysis to Construct the Investment Strategies of Mutual Fund |
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作 者 | 傅澤偉; 林曼莉; 邱彥毅; | 書刊名 | 德明學報 |
卷 期 | 29 2007.08[民96.08] |
頁 次 | 頁1-22 |
分類號 | 563.538 |
關鍵詞 | 共同基金; 隨機優勢理論; 區別分析; Mutual funds; Stochastic dominance; Discriminate analysis; |
語 文 | 中文(Chinese) |
中文摘要 | 共同基金績效評估模型,由早期的單因子資本資產定價模型逐步發展成多因子模型,為的就是提高模型解釋能力;但無論是單因子或是多因子模型,本質上仍是以CAPM作為理論基礎。CAPM的模型假設有其缺點,故可以考量採用非資本資產定價模型來分析基金績效。本研究使用模型限制較少的隨機優勢(stochastic dominance)理論。 運用區別分析(discriminate analysis)及隨機優勢以建構簡易但正確性高的基金投資策略對於投資人及學術界有其重要性。本研究採用國內基金資料的實證結果發現(1)二階隨機優勢可以明確將基金分類為效率或非效率(2)有兩個基金屬性具有區別基金績效的能力,區別函數的正確歸類率比以無知(naïve)選擇的正確率高出是甚多;亦即本研究所建立的投資策略具有供機構投資人或一般投資人的參考價值。 |
英文摘要 | Researchers used models, from easly CAPM of a single factor to latter CAPM of multi-factors, to determine the effectiveness of mutual funds. The main assumptions of CAPM are: (1) The return fits a normal distribution (2) Investors must have quadratic polynomial utility function, which means that the first moment is positive and the second moment is negative. However many scholars criticize the above assumptions. This study adopts stochastic dominance method to distinguish the effectiveness of mutual funds. After the mutual funds are classified into effective or ineffective, discriminate analysis is used to determine which characteristics of fund are key factors. The empirical results show that stochastic dominance and discriminate analysis can offer the investors an easy and effective investment strategy of mutual fund.. |
本系統中英文摘要資訊取自各篇刊載內容。