一个基于非对称 Laplace 分布和 DEA 的证券投资基金评价方法

Since the time series of Chinese mutual funds' returns is characterized with sharp kurtosis, skewness and heavy tail, the return series are simulated with an asymmetric Laplace distribution which fully allows sharp kurtosis, skewness and heavy tail in order to evaluate the mutual funds risk accurately. DEA approach is applied in this paper for mutual funds performance assessment, but from a new perspective. The inputs and outputs are designed to include long-term, mid-term as well as shor-term performance and risk control, which is more rational and better than the existing methods. It not only overcomes the distortion resulted from improper models but also satisfies investors' demand for persistence knowledge.