摘要
詹森差别表现指数(Jensen Alpha)是使用较多的一种评价投资组合业绩的指标。进一步分析Bootstrap方法的基本原理,探讨将Bootstrap运用于Jensen Alpha估计的具体过程,从而解决了运用普通最小二乘法(OLS)估计Jensen Alpha存在的缺陷,提高了Jensen Alpha估计的稳健性,对于投资组合业绩的评价具有一定的参考意义。
Jensen Alpha is an index often used to valuate the portfolio performance. This paper analyzes the principle of Bootstrap method, and explores the detail procedures which apply the Bootstrap method into the estimation of Jensen Alpha. So the shortcomings of the Jensen Alpha estimation with ordinary least square method can be solved and the estimation robustness of Jensen Alpha can be im- proved. This paper has reference meaning for the valuation of portfolio performance.
出处
《控制工程》
CSCD
北大核心
2014年第5期777-779,共3页
Control Engineering of China
