证券投资基金Bayesian业绩评价

Bayesian Performance Evaluation for Securities Investment Funds

将Bayesian统计推断理论引入证券投资基金业绩评价过程,提出一种从投资者角度评价基金业绩的Bayesian方法。首先建立一个关于管理技能的灵活的先验信念集合,然后将这些先验信念与一般多因素模型相结合,进而推导出模型中的截距项——α的后验期望代数解。最后将本文的研究方法应用于我国证券投资基金样本,进行实证分析,并做了模型假设的敏感度分析。

The paper specially introduces the theory of Bayesian Statistical Inference into performance evaluation procedure for securities investment funds and proposes a Bayesian method of performance evaluation from an investor'perspective. We begin with a flexible set of prior beliefs about managerial skill, then combine these prior beliefs with a general multi-factor model and derive an analytical solution for the posterior expectation of'alpha', the intercept term from the model. Finally, we apply our methodology to a sample of domestic securities investment funds and make practical analysis. The sensitivity of the model hypothesis was also analyzed.