阿同学2020-07-23 09:53:58
阿同学老师，第一题记得老师上课说rewarded factor weighting是对风险因子权重把握带来的超额收益，对于风险因子的择时把握，alpha是选股带来的超额收益。这里我选了factor
回答（1）
Kevin2020-07-23 17:34:51
Kevin同学你好！
原版书468页的原话是：simple static exposure to known rewarded factors is no longer widely considered a source of alpha. However, successfully timing that exposure would be a source of alpha.
题目中说的是skillfully timing exposure，所以这里是alpha skill的一种，而不是factor weighting。
- 评论（0）
- 追问（0）
评论
0/1000
追答
0/1000
+上传图片