股票中的错误定价与特质波动效应

登录后收藏

学术论文

低风险异象中的波动率之谜

作者Pedro Barroso; Andrew L. Detzel; Paulo F. Maio

机构
  • Universidade Católica Portuguesa
  • CATÓLICA-LISBON School of Business & Economics
  • University of Denver
  • University of Denver - Daniels College of Business
  • Hanken School of Economics
  • Hanken School of Economics - Department of Finance and Statistics

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.