基于网络Index DEA的多阶段投资组合效率评价研究

Performance Evaluation of Multi-period Portfolios Based on the Network Index DEA

数据包络方法(DEA)近些年来被广泛应用于评价投资组合绩效,然而大多数已有DEA投资组合评价模型都将投入和产出设为期望的指标。本文首先对输入、输出类型进行了判定,在风险和收益两大指标的基础上,构建网络Index DEA投资可能集和投资组合评价模型。最后,选取20支我国股票型基金进行实证分析,说明本文所提出的模型的合理性与可行性。

In recent years, Data Envelopment Analysis（DEA） has been widely used in performance evaluation of portfolios.However, most of the literatures on the portfolio evaluation DEA models are based on the assumption that the input and output indicators are desirable. In this paper, we first classify the style of input and output, and then construct the portfolio possibility set and network index DEA portfolio evaluation models based on the risk and return indexes. Finally, we select 20 stock fund from Chinese fund market to make an empirical analysis, and the results show that the models proposed in this paper have rationality and feasibility.