【作者】 刘印江；

【导师】 王景义；

【作者基本信息】 哈尔滨理工大学 ， 管理科学与工程， 2002， 硕士

【摘要】 证券投资基金是伴随着我国证券市场的发展而出现的新的投资工具。广大投资者对其还存在着一些模糊认识，尤其是对投资基金绩效的评价，本文正是针对该问题在大量实证研究的基础上撰写而成的。 本文开篇介绍了证券投资基金的概念及特点、其产生和在国内外的发展现状。第二章阐述了组合投资的理论和方法，包括组合理论中常用的一些基本概念，其中一些概念来源于统计学，并且介绍了按照Er_σ准则，如何选择最佳投资组合，确定有效边界。第三章是证券投资基金绩效的评价方法，首先介绍了资本资产定价模型，市场证券组合和资本市场线，然后是在第二章组合投资理论和资本资产定价模型基础上，建立了评价我国证券投资基金绩效的数理模型。第四章是实证研究，通过对基金金泰、基金开元、基金安信和基金裕阳的实证研究，得出了证券投资基金的业绩大部分都超过了市场平均水平，而且基金收益与市场投资组合收益高度相关，二者表现为同涨同跌，同时还得出证券投资基金的收益主要来自于优良的股票的选择，长期持有，在我国证券市场投机气氛比较浓的情况下，起到了抵制投机，稳定证券市场的作用。第五章是政策建议和展望。在前面四章研究的基础上，提出了使我国证券投资基金健康发展的政策建议。更多还原

【Abstract】 With the development of Chinese Stock Market, the Investment Fund of Stock appears as a kind of new investment device. Since the investors still have the fuzzy recognitions, especially on the criticism of investment performance. The paper is written, on the basis of large quantities of empirical researches in light of this problem.The paper includes five chapters. The first chapter aims at introducing the concepts, feature, sources and the internal & external development status of the investment fund of stock. The second chapter explains portfolio theory, focusing on its basic concepts & methods.According as the rules of Er_ a , select the best portfolio of investment and confirm efficient portfolio. The next chapter is the evaluation method of investment performance. The evaluating mathematics model of Chinese investment fund of stock performance is established based on portfolio theory & the capital pricing model which has been discussed in the second chapter. The fourth chapter is the empirical researches. Through the empirical research of Fund JiTai, fund KaiYuan, fund AnXin & fund YuYang, two conclusions are concluded: The achievements of investment funds mostly surpass the average level of the market, furthermore the fund profit is highly related to market combination profit. The means, they have the same rise fall status.The investment fund mainly comes from the appropriate stock selection and long-time possession. Under the serious circumstances of Chinese stock market speculation, it restrains the speculation and stabilize the stock market. At last, the fifth chapter is the policy, suggestion & prospect. The constructive suggestions are proposed in order to improve the normal development of Chinese Stock investment.更多还原