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multi-factor_model

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

A Survey of Multi-Factor Models



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.

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