证券市场导报Issue(11)：68-73,77,7.
基于高阶矩的封闭式基金业绩评价研究
摘要
Abstract
Return series of closed-end funds in China has significantly fat-tail and skewness characteristics. In order to study whether the higher moment affect fund performance evaluation and ranking and whether sharpe ratio is still suitable for funds performance ranking, this paper firstly from the perspective of theory, analyses why investors prefer to higher moments, then using the expected utility, propose the generalized Sharpe ratio (GSR) that taking higher moments into account. The empirical results show that although the returns do not follow normal distribution, the funds ranking order is identical by either Sharpe ratio or GSR. Sharpe ratio as the mostly used index for ranking of closed-end funds is still effective and suitable.关键词
夏普比率/基金业绩评价/封闭式基金/基金业绩排名Key words
sharpe ratio/fund performance evaluation/closed-end fund/fund performance ranking分类
管理科学引用本文复制引用
杨爱军,刘晓星..基于高阶矩的封闭式基金业绩评价研究[J].证券市场导报,2012,(11):68-73,77,7.基金项目
教育部人文社会科学项目（10YJA790006）,江苏省高校哲学社会科学重大项目（2011ZDAXM020）,江苏高校哲学社会科学“金融风险管理研究中心”重大项目（2012JDXM009）,江苏省高校自然科学基金（12KJB110（109）,江苏省博士后科研资助计划 （）
