v********l
发帖数: 7 | 1 如果用DJI index当前的ticker使用markowitz allocation去模拟市场配置，用历史数
据去计算回
报率，会得到和DJI很高的相关度的曲线， 但同时会出现很高的positive drift.
想请教一下有经验的， 这个positive drift是哪些因素造成的。
我能想到的只有transaction fees和使用ticker并没有考虑淘汰的historical ticker
的问题。
但肯定还有其它因素, 不知道大伙知道不？ 多谢 | p********0
发帖数: 186 | 2 How many equities did you include in the Markowitz model? What's the method
of your covariance and variance calculation. Did you calculate the expected
return/variance/covariance purely based on the historical data? What is the
number of years your calculation is based on? Does the positive drift happen
every period, constantly beat the market or just one period, a big jump?
What's your turn over ratio for the portfolios(cost for actual implementing
the strategy?)
If you donot have a reasonable |
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