多因子模型还是绕不过去坎,尽量用python实现一个吧
copy了一个例子
SHARPE'S SINGLE FACTOR MODEL:
This model is created in an attempt to decompose the returns on a specific asset between alpha,
the residual return, and the return correlated with the general excess return from the market.
Our experiment begins by creating the single factor model for a variety of etf stocks and the s&p500.