Mutual Fund Performance Evaluation and Dynamic Portfolio Strategy Design Using Value at Risk

• 作 者: ZhongqiuZhao
• 机 构: SchoolofManagementandEconomics
• 出 处: 系统科学与信息学报：英文版
• 发表日期: 2004年4期
• 关键词: CAPM VAR APT

Traditional evaluation techniques for mutual funds are based on CAPM or APT. Propose a new measure benefiting from Value at Risk is proposed in this paper.We show how to apply the VAR dynamics to the evaluation of mutual funds. Meanwhile,we applied the id