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- UID
- 223442
- 帖子
- 402
- 主题
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- 2011-7-11
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- 2016-4-19
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| Result 1: active portfolio的beta和the optimal weight in the optimal overall risky portfolio之间存在着反向关系； Result 2: optimal overall risky portfolio的Sharpe Ratio比market (passive) portfolio的Sharpe Ratio要大； Result 3: optimal overall risky portfolio的expected return更接近于active portfolio return而不是the market (passive) portfolio return. |
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发表于 2013-8-12 14:55
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