摘要
通过改进的投资组合表现评价单因素模型,并结合FF3模型,运用参数检验方法来探讨开放式基金的波动择时能力,研究表明我国开放式基金具有一定的波动择时能力,但比较弱.
In this paper, we employ the modified single-factor model that evaluate portfolio's performance of portfolio and combines to FF3 model to investigate volatility timing of open-end funds in China by using of parameter methods. The results suggest that open-end fund have weak ability of volatility timing.
出处
《合肥学院学报(自然科学版)》
2006年第3期18-21,共4页
Journal of Hefei University :Natural Sciences