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[闲谈] 今天电梯里和会议厅碰见了几个真正的大牌

Robert C. Merton (97年ROBEL经济学奖得主)
Eugene F. Fama   (金融经济学大师)
Kenneth R. French,(Fama-French模型的设计者之一)
。。。
其中Eugene F. Fama/Kenneth R. French回答了一些投资问题。
Q:Do Low-Volatility Strategies Produce High Returns?
A:It is just that, an argument. We have known since the '70s that the relation between beta and average return is much flatter than predicted by the CAPM. Their measure of total volatility is highly correlated with beta. They give a behavioral story, but other stories are consistent with their results. In any case, the CAPM has other more serious problems, and we think a multifactor model is necessary to capture, for example, the value premium in average returns, which shows little relation to beta.

Q:Is the time frame similar for the size and value premiums?
A:The volatility of month-by-month size and value premiums is similar to that of the equity premium, and it takes similarly long periods of time to be reasonably confident of achieving positive premiums.

Q:What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?
A:Distributions of daily and monthly stock returns are rather symmetric about their means, but the tails are fatter (i.e., there are more outliers) than would be expected with normal distributions. (This topic takes up half of Gene's 1964 PhD thesis.) In the old literature on this issue, the popular alternatives to the normal distributions were non-normal symmetric stable distributions (which are fat-tailed relative to the normal) and t-distributions with low degrees of freedom (which are also fat-tailed). The message for investors is: expect extreme returns, negative as well as positive.
1

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问题是你问的吗?
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问题是你问的吗?
not4weak 发表于 2012-1-31 23:15



你感兴趣吗?
回复 3# ctcld

感兴趣,不过没有上下文不好理解。不过是几个统计概念而已,湍流里面也有那些非正态的分布,带尾巴的分布。
听起来你也是流体力学出身?我以前的方向就是有限元数理解法。

现在这帮大牌研究的是金融投资数理分析。问题是我们的FM和FA提的,把我们都听得玄乎。中心思想就是PORTFOLIO组合和LONG TERM RETURN

追高追在均线上,抄底抄在无量处,止损止在前低下,止盈止在暴量时。
听起来你也是流体力学出身?我以前的方向就是有限元数理解法。

现在这帮大牌研究的是金融投资数理分析。 ...
ctcld 发表于 2012-1-31 23:44



    流体是用差分的更多吧

这几个研究的不适用于所谓的traders..
回复  ctcld

感兴趣,不过没有上下文不好理解。不过是几个统计概念而已,湍流里面也有那些非正态的分布 ...
not4weak 发表于 2012-1-31 23:24



    我靠。n4w not a girl ah...
流体是用差分的更多吧

这几个研究的不适用于所谓的traders..
MaJiang 发表于 2012-2-2 01:06



不错啊,所以要用有限元数值法阿,数理统计有助于选边界条件。

这些学者的研究是对大资金管理分配而建立的数学模型,对小资金DT当然无啥用处。只强调坚持长期,就会有收益。
不错啊,所以要用有限元数值法阿,数理统计有助于选边界条件。

这些学者的研究是对大资金管理分配 ...
ctcld 发表于 2012-2-2 08:45



    高深!
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