我明白第一步用portfolio return (Y) 与F1(X1),F2(X2)...做回归，可以得到beta1,beta2,...
但不太明白怎么用beta1，beta2求benchmark retrurn.
AW2739 · 2018年02月19日
benchmark里面是b1' b2' ... 跟portfolio里面的b1 b2 ...是不一的
benchmark里面用的叫做 “normal beta” 是根据过去的表现等人为规定的，作为benchmark
The concept of a “
normal
beta
” in a multifactor context leads to the concept of a
normal
portfolio. A
is a portfolio with exposures to sources of systematic risk that are typical for a manager, using the manager’s past portfolios as a guide.