henriksson 中文意思是什麼
henriksson
解釋
亨里克松-
Henriksson and merton ( 1981 ) regard the timing ability as a free put option. goetzmann, ingersoll and ivkovic ( 2000 ) try to catch the accumulated value of a sequence of such options. we conclude that gii model may pay a more applicable role in the timing study from the theoretical point of view
在對模型的構造進行深入的研究后，我們發現， tm模型假設時機選擇使組合的系統風險呈非線性特徵， hm模型將時機選擇視為一免費的看跌期權， g模型進一步捕捉看跌期權在整個評價期間內的價值。 -
In this paper, we measure the performance of chinese equity funds, using treynor - mazuy model, henriksson - merton model and chang - lewellen model which are based on capm and fama - french three factors model respectively in measuring the manager ' s market timing ability and security selection ability. the empirical evidence indicates that the managers do n ' t exhibit superior market timing ability but exhibit certain security selection ability
本文主要從中國市場的實際出發，對國內外的證券基金業績評價體系進行全面的理論研究，著重對證券基金業績的分解研究進行了探討，並運用分別基於capm和fama ? french三因素模型的treynor ? mazuy模型、 henriksson ? merton模型和chang ? lewellen模型等基金經理擇時能力和擇股能力評價模型對我國的證券基金業績進行全面的實證分析。
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