我國證券投資基金風格與風險實證研究.pdf

1、尚恐夫淫’碩士研究生畢業(yè)(學位)論文姓名：年級：專業(yè)：研究方向：論文題目：導師：完成日期：吳承美2002級金融學投資管理我國證券投資基金風格與風險實證研究馬君潞教授2004年11月南開大學金融工程學院2004年11月AbstractSecuritiesinvestmentfundsareallassembleinvestedmeanswiththecharacterofcapitalconcentration，professionalp

2、ortfolioinvestmentandriskdiversityItraisesmoneydirectlyfromthepopularattheformofshare；ontheotherhand，itpulisthemoneybackintothecapitalmarketbymeansofdispersedinvestmentandfinancemanagementprofessionallyItactsonamajorrole

3、offinancialmediaThedevelopmentofinvestmentfiandsrequireanobjectivemechanismofevaluationinChinaHoweveritisnotwisetocomparetwodifferenttypesofinvestmentfundstraightawayTherefore，itisquitenecessarytoestablishanintegratedsys

4、temoffundassortingtoappraiseallinvestmentfundandmeettherequirementoftheinvestors，fundmanagementcompanies，evaluationinstitutionsaswellastheregulationdepartmentThepurposeofthearticleistoanalyzestylesofdifferentinvestmentfu

5、ndsthroughVaRmethodThatis，whethertherisksinvolvedinafundcouldbeconsideredastheonlyinvestingstandardAsthismethodisunfamiliarwithanalysts，itprovidesinvestorsabrandnewanglewhenmakinginvestmentdecisionThearticledividesintoth

6、reeparts：First，thepaperwillintroducethebasicinformationaboutfundSecond，itwillanalyzethestylesofinvestmentfundsaswellascurrentsituationandfacedprobleminChinasecuritiesmarketbyreferringZengXiaojie’Sassortingresultsoffundst

7、ylesinBeijingUniversityThird，VaRwillbeappliedtodemonstratethepotentialrisksinvolvedinthesecurityfimdsAdditionallyeachfundwillbegivenaVaRresultAtlastitwillcalculatethemeanofeachfundandthenworkouttheVaRcontrastwithdifferen