A style neutral multi-factor stock selection strategy based on combinatorial weights optimization--Quantitative topic 57

Guotai Junan _ Fudao soldier _2015-04-26
A style neutral multi-factor stock selection strategy based on combinatorial weights optimization--Quantitative topic 57

I. Content abstract based on the weighted optimization method of stock combination, the optimal investment combination with market value neutral, industry neutral and style neutrality can obtain the steady excess income. Any stock is exposed to many different risk factors at the same time, and the joint action of them forms the fluctuation of stock price. Through combing the different risk factors, we can realize the decomposition and stripping of the stock income source, and quantitatively study the cause of the stock price fluctuation. -

Two. Detailed content
Three. Summary analysis