择时对抗贝塔(BAB)异象 v.2

登录后收藏

学术论文

VIX管理的投资组合

作者Miloš Božović

机构
  • University of Belgrade – Faculty of Economics and Business
  • University of Belgrade
  • University of Belgrade - Faculty of Economics
  • University of Belgrade - Faculty of Economics and Business

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、BIL。再平衡:每月。Universe: SPY, BIL. Parameters: rebalance=monthly.