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| Evaluating Fund Performance Based on Bayesian Inference |
| ZHU Hong-Liang, CHEN Ying, SHI Yun-Jing, LIU Kuang-Min |
| Nanjing University， Nanjing, China |
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Abstract The performance of the Chinese closeend funds is empirically studied by Bayesian inference from the investors’ prior believes. Portfolios problem of an investor is analyzed and the posterior performance evaluation with a fourfactor model and a series of prior believes is brought in, which enables the connection between the prior believes which are given by intuitive questions of the investors and the market data. The results show that with the increasing of the prior, the posterior performance would increase and the investors are more likely to invest, and that the investor would not invest a general fund unless he has strong prior on the manager and strong prior is also needed when he is convinced not to invest the goodperformance fund, at the same time by analyzing the weight of each securities in different period, the optimal portfolios of different period could be given.
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Received: 20 May 2012
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2012, Vol. 9 
