高师理科学刊2016，Vol.36Issue(7)：4-8,5.DOI:10.3969/j.issn.1007-9831.2016.07.002
基于DEA模型的最优基金投资策略研究
Research on optimal fund investment strategy based on DEA model
摘要
Abstract
Proposes an optimal investment strategy for charity fund,which mainly includes three parts.First,define a measurement of rate on investment(ROI),the two factors in ROI are measured with principal component analysis (PCA)and data envelopment analysis(DEA)model,respectively.The ten optimal investment universities are selected according to ROI.Second,the investment volume of selected ten universities is determined by Markowitz portfolio theory.Construct the portfolio model with the mean and the standard deviation of ROI during recent 5 years. According to Markowitz portfolio model,the concrete proportion of fund allocation is determined uniquely.Finally, proposes a strategy of estimating the investment time duration based on scale reward to help maximize the fund benefit.关键词
投资组合/DEA模型/规模收益Key words
investment portfolio/DEA model/scale return分类
数理科学引用本文复制引用
虞芳,鲍远娟,陶超,朱家明..基于DEA模型的最优基金投资策略研究[J].高师理科学刊,2016,36(7):4-8,5.基金项目
国家自然科学基金资助项目（11301001）；安徽财经大学教研项目 （）
