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2671机器学习简单数值题short

Effective Breadth Under Common Factor Correlation

题目

A researcher tracks 100 cross-sectional alpha sleeves whose pairwise correlation is approximately 0.20. Using the rough equal-correlation breadth proxy neff=n/(1+(n1)ρ)n_\text{eff}=n/(1+(n-1)\rho), what is the effective number of independent bets?

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