ALPHA IS VOLATILITY TIMES IC TIMES SCORE

被引：26

作者：

GRINOLD, RC

机构：

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1994年 / 20卷 / 04期

关键词：

D O I：

10.3905/jpm.1994.409482

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Alpha is die driving force in active portfolio management. The author demonstrates how investors can take their qualitative and quantitative insights and transform them into alphas. The examples presented also demonstrate how these alpha building prescriptions help to avoid having alphas be ignored (eaten) by a portfolio optimizer.

引用

页码：9 / 16

页数：8