海外文献推荐系列之七十六：西学东渐.docx

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1、目录1、引言.......................................................................................................................-3-2、本文理论模型......................................................................................................-5-2.1因子模型、因子投资与因子择时.........................

2、.........................................-6-2.2不存在套利机会..............................................................................................-7-3、因子收益的可预测性..........................................................................................-9-3.1所用数据.....................

3、.....................................................................................-9-3.2因子的主成分..................................................................................................-9-3.3预测主成分的超额收益........................................................................

4、........-10-3.4单个因子预测................................................................................................-11-3.5稳健性检验....................................................................................................-12-3.6与备选方法对比........................................

5、....................................................-13-4、最优因子组合....................................................................................................-15-4.1表现..............................................................................................................

6、..-15-4.2择时的频率探讨............................................................................................-16-5、SDF的性质........................................................................................................-16-5.1波动率.................................................

7、...........................................................-16-5.2异方差性........................................................................................................-17-5.3与经济状态的关系........................................................................................-18-5.

8、4将因子择时与波动率择时结合.....