基于行為金融理論的證券投資基金績效分析研究.pdf

1、分類號——UDC?！芗墶獙W(xué)校代碼!她92武撬理歹大浮學(xué)位論文題目基王短盞金融堡逾趁垂鲞超置基金縫夔公援嬰窺英文題目基￡塹塵籃＆趟鹼凼!嬰然駐取A地迪塾星亟墨垂Q塾曼￡魚!iQ!墅紐型!鰉研究生姓名醫(yī)蘊(yùn)指剝幣警差鬈蓋耋茹蘭副指導(dǎo)教師姓名單位名稱職稱郵編申請學(xué)位級別亟學(xué)科專業(yè)名稱鏨量經(jīng)進(jìn)堂論文提交日期2Q籩生!Q旦論文答辯日期2QQ蔓生!!日2005年11月武漢理工大學(xué)碩士學(xué)位論文AbstractDuringthefouryearss

2、incemutualfundsdebuted，mutualfundshaveemergedasonecategoryofthemostimportantinstitutionalinvestorsinChinesesecuritiesmarket，andmeanwhile，軀therisingtoolsofinvestment，mutualfunds’performancesbecomeoneofthemostcruelalfactor

3、swhichinflgencesthetrendofthewholesecuritiesmarketWiththeincreaSeoffundcategories，todaythefundperformancemeaSurementdrawsalotofattentionEfficientMarketHypothesis(EMH)isthebaseofTraditionalfinancetheoryHoweverwitlltheaccu

4、mulationofalltheabnormitiesonfinancemarketthedeviationbetweenmodelsandactualcircshasmadetherationalanalysisfromtraditionalfinancetheorygetintoanawkwardcircumstance1980s，BehavioralTheoryhasbeenrisinggraduallyanditwobblest

5、heauthoritativestatusofCAPMandEMHTakingthepsychologyofinvestorsintoaccount，thisthesisbringsforwardanewmeasurementoffundunder10SSaversionThiSnewmeasurementUSeSCPT(CumulativeProspectTheory)ofBehaviorFinanceforreference，and

6、thenquotesVF(ValueFunction)andCWF(CumuhtiveWeightFunction)，replacingthetraditionalprobabilityweightItisameasurementofrisk—adjusted，imitatingSharpeIndexFirstlythepaperdiscusseStherelevantissuesoffundperformancemeasurement

7、fromvariousperspectivesthenreviewsandsummarizesthetheoriesandmethodsinthisfieldsystematicallyBasedonthat，thepaperprovidesanewmethodtomeasurethecurrent6IndexF、mdsperformanceinChinausingbothdescriptivestatisticsandempirica

8、lanalysismethodandcompareswitIlthetraditionalperformancemeasurementsTheChapter1ofthispaperintroducesthedefinitionofsecurityinvestmentfundsandperformancemeasurements；intheChapter2，thispaperreviewssometraditionalperformanc

9、emeasurementsonsecurityinveStmentfunds；theChapter3isthetheorybackgroundwhichiscalledBehavioralTheoryofthenewmethod，anditalsoelicitsthekeystoneofthispaper(theChapter4卜一Ariskadjustedevaluationmeasureoffundperformancebasedo