Responsive image
博碩士論文 etd-0803106-010826 詳細資訊
Title page for etd-0803106-010826
論文名稱
Title
主動型基金經理人操作績效的厚尾統計管制圖
Heavy-tail statistical monitoring charts of the active managers' performance
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
46
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2006-06-15
繳交日期
Date of Submission
2006-08-03
關鍵字
Keywords
拒絕-接受抽樣法、混合常態分佈、廣義誤差分佈、厚尾分布、CUSUM管制圖、資訊比值、基金績效評估
Generalized error distribution, Information Ratio, Mixture Normal distribution, CUSUM control chart, fat tail, performance measurement, Acceptance-Rejection sampling method
統計
Statistics
本論文已被瀏覽 5739 次,被下載 1446
The thesis/dissertation has been browsed 5739 times, has been downloaded 1446 times.
中文摘要
許多評估主動基金經理人操作績效的方法,須經一段時間之後才得以建立;然而大部分的投資人,總是希望在經理人的操作出現問題時能儘快察覺,以便適時地調整投資組合的目標和內容,來降低投資風險;Yashchin,Thomas與David (1997),提供一個統計品管(SQC)的方式來監控主動基金經理人的績效;據此建時表現。
然而在許多基金中,資訊比值常具有厚尾分布的特性;由於分佈是建立IR管制圖的重要假設,因此針對此問題,考慮了混合常態機率分佈、廣義誤差機率分佈兩種厚尾分佈來配適資訊比值;進一步,在較佳的模型配適下,重新建立對應的管制圖。利用模擬及實証的結果觀察所建立的管制圖;確實更能靈敏地察覺主動基金經理人績效的變動。
Abstract
Many performance measurement algorithms can only evaluate measure active managers' performance after a period of operating time. However, most investors are interested in monitoring the active managers' performances at any time, especially, when the performance is going down. So that the investors can adjust the targets and contents of their portfolios to reduce their risks. Yashchin,Thomas and David (1997) proposed to use a statistical quality control (SQC) procedure to monitor active managers' performances. In particular, they established the IR (Information Ratio) control charts under normality assumption to monitor the dynamic performances of active managers.
However, the distributions of IR statistic usually possess fat tail property. Since the underlying distribution of IR is an important hypothesis in building up the control chart, we consider the heavy tail distributions, such as mixture normal and generalized error distribution to fit the IR data. Based on the fitted distribution, the IR control charts are rebuilt. By simulations and empirical studies, the remedial control charts are found to detect the shifts of active managers' performances more sensitively.
目次 Table of Contents
第一章 緒論 1

第二章 文獻探討 3
2.1資訊比值在基金績效評估上的意義........................ 3
2.2利用CUSUM的統計方法監控資訊比值的表現................. 5

第三章 混合常態與廣義誤差分佈 8
3.1 混合常態分佈及參數估計............................... 8
3.2 廣義誤差分佈及參數估計.............................. 9
3.3 廣義誤差分佈的CUSUM管制圖........................... 11
3.3.1 廣義誤差分佈的CUSUM統計量LN(G)................ 11
3.3.2 LN(G) CUSUM管制圖的門檻值及ARL值.............. 12
3.3.3 建立LN(G) CUSUM管制圖的實例說明及比較......... 13

第四章 資料分析與實証 17
4.1國內基金資訊比值的資料分析.......................... 17
4.2國內基金資訊比值的厚尾分佈配適實例.................. 18
4.3在GED與Normal假設下的CUSUM管制圖.................... 18
第五章 結論與建議 20
參考文獻 21
附錄 23
參考文獻 References
Banzal, R. K. and Papantomi-Kazakos, P. (1986) 'An algorithm for detecting a change in a stochastic process.' IEEE Trans. Information Theory. 227-235
Connor, G. (1995), 'The Three Types of Factor Models: A Comparison of Their Explanatory Power.' Financial Analysts Journal.
Daniel, K., Grinblatt, M., Titman, S., and Wermers, R. (1997)'Measuring Mutual Fund Performance with Characteristic-Based Benchmarks.' The Journal of Finance, No. 3, 1035-1058
Everitt, B. S. (1984). 'Maximum Likelihood Estimation of the Parameters in a Mixture of Two Univariate Normal Distributions; A Comparison of Different Algorithms' The Statistician, 33, No.2, 205-215.
Fama, E. F. (1970) 'Efficient Capital Market: A Review of Theory and Empirical Work.' Journal of Finance. 25. 383-417.
Grinold, R. C. and Kahn, R. N. (2000) 'Active Portfolio Management,' 2ed. McGraw-Hill: New York.
Jensen, M. C. (1968) 'The performance of Mutual Funds in the Period 1945-1964,' Journal of Finance 23, 389-416.
Johnson, N. L. and S. Kotz. (1970) 'Distributions in Statistics: Continuous univariate ditributions.' Wiley: New York.
Korkie, R. M. and Turtle, H. J. (2002) 'What a portfolio Manager Worth?' Journal of Portfolio Management, 65-73
Lorden, G. (1971) 'Procedures for reacting to a change in distribution.' Ann. Math. Stat., 42, 1897-1908.
Moustakides, G. V. (1986) 'Optimal stopping times for detecting changes in distributions.' Ann. Stat. 1379-1387.
Montgomery, D. C. (2005) 'Introduction to Statistical Quality Control.' Wiley: New York.
Page, E. (1954) 'Continuous inspection schemes.' Biometrika 41, 100-115.
Sharpe, W.F. (1966) 'Mutual Fund Performance,' Journal of Business, 39, 119-138
Sharpe, W. F. (1992) 'Asset Allocation, management style, and performance measurement.' Journal of Portfolio Management, 7-19.
Treynor, J. L. (1965), 'How to Rate Management of Investment Funds.' Harvard Business Review 43, 63-75.
Tsay, R. S. (2002) 'Analysis of Financial Time Series.' Wiley: New York, 104
Yashchin, E.(1993) 'Performance of CUSUM Control Schemes for Serially Correlated Observations.' Technometrics, 35, no.1 37-51.

Yashchin, E., Thomas, K. P., and David, M. S. (1997). 'Monitoring Active Portfolios Using Statistical Process Control.' In Computational Approaches to Economic Problems. edited by Hans A., Berc, Rustem., and Andrew W., eds. Dordrecht, Netherlands: Kluwer Academic publishers.
Yashchin, E., Thomas, K. P., and David, M. S. (2003). 'Using Statistical Process Control to Monitor Active Managers.' Journal of Portfolio management. 86-94.
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內立即公開,校外一年後公開 off campus withheld
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available


紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code