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Dr.李
alpha-mind
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b35ee2b1
Commit
b35ee2b1
authored
Jun 19, 2017
by
Dr.李
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update alpha-mind work flow doc
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30a1dadb
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doc/alpha-mind work flow.md
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b35ee2b1
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@@ -59,9 +59,17 @@
根据$
\b
ar Y$计算得到预期收益$r$。
## 计算股票协方差
举证
## 计算股票协方差
矩阵
根据对应的
``risk_model``
,从
``risk_cov_*``
表中取出对应的风险因子协方差矩阵,根据对应的
``risk_exposure``
,计算得到股票协方差矩阵$C$。
根据对应的
``risk_model``
,从
``risk_cov_*``
表中取出对应的风险因子协方差矩阵,根据对应的
``risk_exposure``
以及
``specific_risk_*``
计算得到股票协方差矩阵$C$:
$$ C = E^T
\t
imes RC
\t
imes E + SR $$
其中:
*
$E$为股票的
``risk_exposure``
;
*
$RC$为风险因子的协方差矩阵;
*
$SR$为股票的
``specific_risk``
。
## 计算组合
...
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