基于叙事的资产配置

登录后收藏

学术论文

量化叙事及其对金融市场的影响

作者Rajeev Bhargava; Xiaoxia Lou; Gideon Ozik; Ronnie Sadka; Travis Whitmore

机构
  • State Street (United States)
  • State Street Associates
  • University of Delaware
  • University of Delaware - Alfred Lerner College of Business and Economics
  • Ecole des Hautes Etudes Commerciales du Nord
  • EDHEC Business School
  • Boston College
  • Boston College - Carroll School of Management
  • State Street Corporate

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、EFA、EEM、VNQ、DBC、GLD、TLT、IEF、HYG。再平衡:每月。Universe: SPY, EFA, EEM, VNQ, DBC, GLD, TLT, IEF, HYG. Parameters: rebalance=monthly.