基于方向距离函数的动态网络DEA基金绩效评价

doi:10.19722/j.cnki.1008-7729.2018.0100

北京邮电大学学报(社科版) ›› 2018, Vol. 20 ›› Issue (5): 80-89.doi: 10.19722/j.cnki.1008-7729.2018.0100

基于方向距离函数的动态网络DEA基金绩效评价

1.武汉理工大学经济学院，湖北武汉430070；2.华南师范大学经济管理学院，广东广州510006

收稿日期:2018-05-04 出版日期:2018-10-31
基金资助:
国家自然科学基金项目（71271161）；中央高校基本科研业务费专项资金资助项目（185215001）

Dynamic Network DEA Approach to Performance Evaluation of Funds #br# Based on Direction Distance Function

1. School of Economics, Wuhan University of Technology, Wuhan 430070, China;
2. School of Economics and Management, South China Normal University, Guangzhou 510006, China

Received:2018-05-04 Online:2018-10-31

摘要/Abstract

摘要： 基于方向距离函数，提出一种动态的网络数据包络分析（Data Envelopment Analysis，DEA）模型来评价基金的效率。为有效评价基金在中长期投资过程中的绩效，分别选取基金收益的净值、基金收益净值的条件在险价值和标准差、费率作为收益率、风险和成本的度量指标。最后，基于中国基金市场上的数据，计算了5个不同区间的基金效率值，结合不同样本年度的效率值分析基金绩效变化的原因，并通过输入和输出指标的数值验证了模型的有效性。

关键词: 数据包络分析, 网络DEA, 方向距离函数, 效率, 绩效评价

Abstract: Data envelopment analysis (DEA) is a very useful approach to measure the efficiency of funds. A dynamic network DEA model based on the direction distance function is proposed to evaluate the performance of funds. Considering the fact that the duration of investment process may be medium-term or long-term, the net value of fund income, the conditional value at risk and standard deviation of the net value of fund income, and the fees of funds respectively are chosen as the metrics of the rate of return, risk, and costs of funds. Finally, the daily trading data are collected to calculate the efficiency value of funds, dividing them into five different sample intervals for the purpose of analyzing the causes of performance variation. Furthermore, the effectiveness of the model is illustrated through analyzing the value of inputs and outputs.

Key words: data envelopment analysis, network DEA, direction distance function, efficiency, performance evaluation

中图分类号:

F830.91

王小俐1，张鹏2，魏建国1. 基于方向距离函数的动态网络DEA基金绩效评价[J]. 北京邮电大学学报(社科版), 2018, 20(5): 80-89.

WANG Xiao-li1，ZHANG Peng2，WEI Jian-guo1. Dynamic Network DEA Approach to Performance Evaluation of Funds #br# Based on Direction Distance Function[J]. JOURNAL OF BEIJING UNIVERSITY OF POSTS AND TELECOM, 2018, 20(5): 80-89.

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基于方向距离函数的动态网络DEA基金绩效评价

Dynamic Network DEA Approach to Performance Evaluation of Funds #br# Based on Direction Distance Function

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