摘要
用风险价值代替标准差作为夏普比率中投资组合风险的度量,并应用修正的VaR计算方法解决收益率序列非正态分布时的风险度量问题。进一步地将小波分析引入夏普比率,利用小波函数的尺度变化与不同的投资期限相对应,建立了基于小波分析的多期夏普比率评价模型,并以我国经济背景为依托,选择上证八只封闭式基金进行研究。结果表明,把小波分析引入夏普比率可以解决投资组合业绩的多期评价问题。
Standard deviation in Sharpe Ratio is substituted with VaR and a calculation method of modified VaR is used to solve problems of evaluation when returns are not distributed normally.On second thoughts,Multi-horizon Sharpe Ratio model is established using wavelet analysis in Sharpe Ratio through making different scale of wavelet function match different horizon.Based on the background of domestic economy,the result of eight funds of Shanghai equity market shows that Sharpe Ratio using wavelet analysis can derive multi-horizon evaluation to performances of portfolios.
出处
《管理工程学报》
CSSCI
北大核心
2009年第1期154-157,共4页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(70771023)
