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传统的基金绩效指标夏普指数在收益分布方面假定收益服从正态分布,采用标准差作为收益调整指标,而标准差的双向波动性,并不能很好的为投资者提供参考。VAR方法基于信度理论和概率分布,对在险值进行估计,是国际上金融风险管理上广泛应用的工具,本文应用VAR的模型和求解方法,以VAR值代替基金收益的标准,依次对夏普指数进行了修正,以便为投资者提供参考。
The traditional fund performance indicators Sharp index assumes that the return distribution in the normal distribution, the use of standard deviation as a revenue adjustment indicator, and standard deviation of the two-way volatility, and does not provide a good reference for investors. Based on reliability theory and probability distribution, VAR method is used to estimate the value of risk. It is a widely used tool in international financial risk management. In this paper, VAR model and solution method are used to replace VAR with the standard of fund return, The index has been amended to provide investors with a reference.