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提出了基于因子分析(DRF)的DEA组合评价方法。该方法综合了DRF[1]和DEA[2]两种方法的优点[3-4],通过DRF对投入产出指标进行处理,把繁多的投入产出指标归并成若干个具有明确经济意义的公共因子,从而利用DEA模型计算出各只基金的相对效率值,并给出了改善方向。对我国股票型开放式基金2004年1月1日至2008年6月29日的业绩进行了评价。
A DEA portfolio evaluation method based on factor analysis (DRF) is proposed. The method combines the advantages of the two methods of DRF [1] and DEA [2] [3-4], processes input-output indicators through DRF, and merges a large number of input-output indicators into several economic indicators Public factor, thus using DEA model to calculate the relative efficiency of each fund value, and gives the direction of improvement. The performance of China’s stock-based open-end funds from January 1, 2004 to June 29, 2008 was evaluated.