摘要
在金融证券市场中,夏普比率可以同时衡量投资组合的收益和风险,是基金绩效评估中最常用的指标,在投资组合中能够给投资者提供重要的指导作用,因此研究夏普比率函数的估计方法具有重要现实意义。本文研究内容有:首先,概括了股票市场背景下夏普比率的研究现状及其在基金绩效排名中的适用性;其次,给出了现有估计夏普比率函数的方法,包括参数法、非参数法、时间序列分析法、小波分析法,并对每种方法的优缺点与适用情境进行了系统化梳理和比较;最后,借助时间序列分析法对股票对数收益率序列构建了ARMA-GARCH模型,计算了单期超额收益率的均值和方差并间接计算了夏普比率函数,之后在实例分析中根据夏普比率值的大小对基金绩效进行了排名,验证了该方法的有效性。
In financial securities market, Sharp ratio is the most commonly used index in fund performance assessment, which can simultaneously measure the return and risk of investment portfolios, and have a guiding function for investors. Therefore, it is important to study the estimation method of Sharp ratio function. This paper firstly summarized the research status of Sharp ratio and its applicability in fund performance ranking under the background of stock market. Then the paper systematically combed and compared the advantages and disadvantages of some estimation methods, as well as their applicable situations, including parameter method, non-parameter method, time series analysis, wavelet decomposition and ADMM algorithm. Finally, we built the ARMA-GARCH model of stock logarithmic return series with the help of time series analysis method, and then calculated the expected value and the standard deviation of one-period excess return, further indirectly calculated the Sharp ratio function. In instance analysis, fund performances have been ranked according to the value size of Sharp ratio, and the effectiveness of the method has been proved verified.
作者
林红梅
杜金艳
张少东
LIN Hong-mei;DU Jin-yan;ZHANG Shao-dong(School of Statistics and Infoimation,Shanghai University of International Business and Economics,Shanghai 201620,China)
出处
《统计学报》
2021年第6期73-88,共16页
Journal of Statistics
基金
国家自然科学基金面上项目(12171310)
上海市自然科学基金面上项目(20ZR1421800)。
关键词
夏普比率
收益率
投资风险
局部线性核估计
非参数回归
Sharpe ratio
rate of return
investment risk
local linear kernel estimation
non-parametric regression
