4441机器学习中等数值题short
Fee-Adjusted Composite Alpha 1
题目
A desk forms a composite alpha A = 0.6 A_fast + 0.4 A_slow. The expected gross daily alpha of A_fast is 8 bps and of A_slow is 5 bps. Their daily turnover is 90% and 20%, and every 1% of turnover costs 0.02 bps. What is the composite's expected net daily alpha?
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