The Use of Stochastic Dominance and Discriminant Analysis to Construct the Investment Strategies of Public Service Pension Fund Entrusting
碩士 === 國防管理學院 === 國防財務資源研究所 === 94 === In order to construct the investment strategies of public service pension fund entrusting, researchers used models, from early CAPM of a single factor to latter CAPM of multi-factors, to determine the effectiveness of mutual funds. The main assumptions of CAPM...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69177851538868592277 |
| Summary: | 碩士 === 國防管理學院 === 國防財務資源研究所 === 94 === In order to construct the investment strategies of public service pension fund entrusting, researchers used models, from early CAPM of a single factor to latter CAPM of multi-factors, to determine the effectiveness of mutual funds. The main assumptions of CAPM are: （1）The return fits a normal distribution（2）Investors must have quadratic polynomial utility function, which means that the first moment is positive and the second moment is negative. However many scholars criticize the above assumptions. This study adopts stochastic dominance method to distinguish the effectiveness of mutual funds.
After the mutual funds are classified into effective or ineffective, discriminate analysis is used to determine which characteristics of fund are key factors. The empirical results show that stochastic dominance and discriminate analysis can offer the investors an easy and effective investment strategy.
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