%0 Journal Article
%T A Method for Evaluating Mutual Funds'''' Performance based on Asymmetric Laplace Distribution and DEA Approach<br>一个基于非对称Laplace分布和DEA的证券投资基金评价方法
%A ZHAO Xiu-juan
%A ZHANG Hong-shui
%A LAI Kin Keung
%A WANG Shou-yang
%A <br>赵秀娟
%A 张洪水
%A 黎建强
%A 汪寿阳
%J 系统工程理论与实践
%D 2007
%I 
%X Since the time series of Chinese mutual funds' returns is characterized with sharp kurtosis,skewness and heavy tail,the return series are simulated with an asymmetric Laplace distribution which fully allows sharp kurtosis,skewness and heavy tail in order to evaluate the mutual funds risk accurately.DEA approach is applied in this paper for mutual funds performance assessment,but from a new perspective.The inputs and outputs are designed to include long-term,mid-term as well as shor-term performance and risk control,which is more rational and better than the existing methods.It not only overcomes the distortion resulted from improper models but also satisfies investors' demand for persistence knowledge.
%K mutual fund
%K data envelopment analysis
%K performance evaluation
%K VaR
%K asymmetric Laplace distribution<br>证券投资基金
%K 数据包络分析(DEA)
%K 绩效评价
%K 在险价值(VaR)
%K 非对称Laplace分布
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=D6457D39DF05F02D02DF9E8B2340EC1F&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=F3090AE9B60B7ED1&sid=CA4FD0336C81A37A&eid=F3090AE9B60B7ED1&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=27