我國(guó)證券投資基金風(fēng)格與風(fēng)險(xiǎn)實(shí)證研究.pdf

1、尚恐夫淫’碩士研究生畢業(yè)(學(xué)位)論文姓名：年級(jí)：專業(yè)：研究方向：論文題目：導(dǎo)師：完成日期：吳承美2002級(jí)金融學(xué)投資管理我國(guó)證券投資基金風(fēng)格與風(fēng)險(xiǎn)實(shí)證研究馬君潞教授2004年11月南開大學(xué)金融工程學(xué)院2004年11月AbstractSecuritiesinvestmentfundsareallassembleinvestedmeanswiththecharacterofcapitalconcentration，professionalp

2、ortfolioinvestmentandriskdiversityItraisesmoneydirectlyfromthepopularattheformofshare；ontheotherhand，itpulisthemoneybackintothecapitalmarketbymeansofdispersedinvestmentandfinancemanagementprofessionallyItactsonamajorrole

3、offinancialmediaThedevelopmentofinvestmentfiandsrequireanobjectivemechanismofevaluationinChinaHoweveritisnotwisetocomparetwodifferenttypesofinvestmentfundstraightawayTherefore，itisquitenecessarytoestablishanintegratedsys

4、temoffundassortingtoappraiseallinvestmentfundandmeettherequirementoftheinvestors，fundmanagementcompanies，evaluationinstitutionsaswellastheregulationdepartmentThepurposeofthearticleistoanalyzestylesofdifferentinvestmentfu

5、ndsthroughVaRmethodThatis，whethertherisksinvolvedinafundcouldbeconsideredastheonlyinvestingstandardAsthismethodisunfamiliarwithanalysts，itprovidesinvestorsabrandnewanglewhenmakinginvestmentdecisionThearticledividesintoth

6、reeparts：First，thepaperwillintroducethebasicinformationaboutfundSecond，itwillanalyzethestylesofinvestmentfundsaswellascurrentsituationandfacedprobleminChinasecuritiesmarketbyreferringZengXiaojie’Sassortingresultsoffundst

7、ylesinBeijingUniversityThird，VaRwillbeappliedtodemonstratethepotentialrisksinvolvedinthesecurityfimdsAdditionallyeachfundwillbegivenaVaRresultAtlastitwillcalculatethemeanofeachfundandthenworkouttheVaRcontrastwithdifferen