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基于模型平均方法的基金绩效预测研究

李莉莉,崔迎鹏,卢睿,乔婧妍   

  1. 青岛大学经济学院, 青岛 266100
  • 出版日期:2018-06-25 发布日期:2018-08-21

李莉莉,崔迎鹏,卢睿,乔婧妍. 基于模型平均方法的基金绩效预测研究[J]. 系统科学与数学, 2018, 38(6): 711-724.

LI Lili, CUI Yingpeng, LU Rui, QIAO Jingyan. Research of Fund Performance Prediction Based on Model Averaging Method[J]. Journal of Systems Science and Mathematical Sciences, 2018, 38(6): 711-724.

Research of Fund Performance Prediction Based on Model Averaging Method

LI Lili, CUI Yingpeng, LU Rui, QIAO Jingyan   

  1. School of Economics, Qingdao University, Qingdao 266100
  • Online:2018-06-25 Published:2018-08-21

基金绩效的预测分析对基金市场的发展具有重要作用. 文章运用S-AIC, S-BIC, JMA 和 OPT 4种模型平均方法对基金绩效进行预测, 通过平均绝对误差、最优率和均方误指标来判断预测精度的优劣. 研究表明: 根据平均绝对误差, 最优率和均方误这3个评价指标, 基于OPT 准则的模型平均方法所得到的基金绩效预测精度最优, 并且具有很好的稳定性.

The prediction of fund performance will play an important role in the development of fund market. In this article, we apply the four model averaging methods to forecast the fund performance, that is, S-AIC, S-BIC, JMA and OPT. The average absolute error, mean squared error and the optimal rate are used to judge the prediction accuracy and stability. The empirical results show that OPT criterion model averaging method has the best prediction accuracy and stability.

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