MPT
PerpetualLearner
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市净率PB,市盈率PE
市净率又名市帐率,股价净值比.Price-to-Book Ratio, PBR,P/B.市净率=股价每股净资产=市值归属母公司股东的权益市净率=\frac{股价}{每股净资产}=\frac{市值}{归属母公司股东的权益}市净率=每股净资产股价=归属母公司股东的权益市值Book value归属母公司股东的权益,又称为Book Value(net book value, net asset value).The book value of a company is the differ..原创 2020-11-22 11:04:50 · 1034 阅读 · 1 评论 -
理解exposure风险暴露中的暴露 in Finance
Risk ExposureRisk Exposure is the measure of potential future loss resulting from a specific activity or event.Finiancial ExposureIn finance, exposure refers to the amount of money that an investor has invested in a particular asset.It represents t..原创 2020-10-18 21:31:25 · 1104 阅读 · 0 评论 -
理解Barra Risk Model:Investment Tools History
Investment Tools HistoryTimeStatesInvestment Tools1950之前1. There was no concept of systematic, or market-related, return.2. Return was a rise in the value of an asset and risk was a drop in the value of an asset.intuition;insightful financi..原创 2020-09-12 22:01:12 · 498 阅读 · 0 评论 -
Factor Exposure因子暴露
OverviewA large part of a capital allocator’s job is to be a detective and solve puzzles. A never-ending puzzle is explaining past performance and risk drivers, especially when capital allocations went wrong as humans suffer from a negativity bias, whic..原创 2020-09-12 21:56:31 · 1662 阅读 · 0 评论 -
理解MSCI||Barra起源及现状
www.mscibarra.comMSCI (Morgan Stanley Capital International and MSCI Barra), is an American finance company headquartered in New York City and serving as global provider of equity, fixed income, hedge fund stock market indexex, and multi-asset portfolio..原创 2020-08-24 21:17:45 · 2473 阅读 · 0 评论 -
理解exponential weighted || 指数
Exponentially weighted moving averageaverage is a single data point;moving average is a sequence of data point;weighted moving average means the process calculating average 给不同元素不同权重;exponential weighted moving average 指计算权重的方式是指数方式;先看这四个概念中最核心的aver..原创 2020-08-22 19:31:16 · 844 阅读 · 0 评论 -
理解alpha、beta、ir 基金指标||mutual funds、hedge Funds、Public Offering Fund
Indicators of Investment RiskThere are five main indicators of investment risk that apply to the analysis of stocks, bonds and mutual fund portfolios. They are :alphaAlpha is a measure of an investment’s performance on a risk-adjusted basis. It take..原创 2020-08-22 19:28:35 · 2533 阅读 · 1 评论 -
理解mosek及LP、QP、SOCP、SDP、MIP等
MosekCompanyWikipediaPyPi - Mosek 9.2.14杉树科技(中国唯一的Mosek官方授权经销商)DECISION TREE FOR OPTIMIZATION SOFTWARE (Site aims at helping you identify ready to use solutions for your optimization problems)问题类型Short NameNameChineseLPLinear Progr..原创 2020-07-04 19:30:03 · 4777 阅读 · 0 评论 -
理解Mean-Variance Portfolio Theory In MPT
Markowitz Mean-Variance Portfolio TheoryAn investment instrument that can be bought and sold is often called an asset.Suppose we purchase an asset for x0x_0x0 dollars on one date and then later sell it for x1x_1x1 dollars. We call the ratio:R=x1x0R..原创 2020-07-04 19:28:56 · 1190 阅读 · 0 评论