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Update 2.多因子模型构建.md
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Miya-Su authored Mar 11, 2019
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其中,r_{i} 为对无风险收益率的超额部分, x_{ij}为股票i对因子的暴露度,f_{i}为因子收益\\(x_{ij}的名称有许多种,比如因子载荷、因子 beta、斜率、系数、因子敏感度等,此处及后文均采用Barra模型的语境,\\即因子暴露)。x_{ij}是随个股特征不同而变化的部分,而 f_{i}为共同部分(共同因子)。

向量形式:

$$𝒓 = 𝒙_𝟏𝑓_1 +𝒙_𝟐𝑓_2 +⋯+𝒙_𝒎𝑓_𝑚 +𝒖$$


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