Exotic Beta Revisited [从CFA官网下载]

                                                                                                                                                [size=14.000000pt]author：Mark Carhart, CFA, Ui-Wing Cheah, CFA, Giorgio De Santis,Harry Farrell, and Robert Litterman
[size=14.000000pt]


                                                                                                [size=10.000000pt]The authors propose portfolios comprising simple and intuitive risk premiums (exotic betas) that are trans-parent and cost effective, perform well in different market environments, and are uncorrelated with equities.They are an alternative to traditional portfolios that are defined by their asset class allocations. The authorsshow that exotic beta investing offers a better risk–return profile than risk parity and hedge fund replicationand that adjusting exposures to capture variation in risk premiums further improves performance.
                               
                       
               
                               
                       
               

论坛里貌似已经有了，我再上传一次吧。这是篇不错的文章。

exotic beta.zip (306.41 KB) 本附件包括：

• exotic beta.pdf

2015-1-1 18:41:08 上传