关于计算投资
关于分散投资
wide diversification is only required when investors don't understand what they are doing. – warren buffer.
formula: sr(multi) = C alpha sqrt(bets). sr = sharpe ratio.
alpha代表对bet了解程度. 如果alpha很高, 那么少做几次bet是值得的. 可是如果对于bet了解很少, 那么alpha很低, 所以需要尽可能地做多bet, 也就是wide diversification.
see more: http://augmentedtrader.com/2011/01/15/warren-buffet-and-the-fundamental-law/
CAPM(Capital Assets Pricing Model). R(i, t) = Beta(i) * Rm(t) + Alpha(i). 其中i标识具体stock. beta则表示这个stock随市场变化的相关系数. 而alpha则是stock独立于市场变化的表现.
A Rare Interview with the Mathematician Who Cracked Wall Street | Jim Simons | TED Talks
其中被问到renaissance hedge fund收费. 普通hedge fund是1-10 / 2-10. 但是renaissance是5-44. 5%本金管理, 44%收益部分