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- UID
- 223414
- 帖子
- 347
- 主题
- 11
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-6
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not sure about time horizon risk.
A tracking portfolio is a portfolio with the same sensitivity to certain factors as the benchmark you are comparing it too. Doesn't have to be one, just as sensitive as the benchmark.
A factor portfolio has a sensitivity of 1 for 1 factor and 0 exposure to all others. |
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发表于 2011-7-13 16:28
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