股票外汇技术分析英文版 (2).pptVIP

April 27, 2005 ? Gertsch Wachob Fuqua Investment Analytics Stefan D. Gertsch Brian Wachob Purpose of Study Build a quantitative stock selection model to guide portfolio management at a long/short hedge fund. Adopted perspective of a fund with $100M in assets under management This fund size estimate guided investable universe definition. Assumed goal of maximizing returns with negligible correlation to other asset classes In practice, we did consider variance as well, but it is of much lesser importance if correlations with other asset classes are indeed negligible. Overview Definitions: Unive