5290金融与交易困难essaymedium
Tiny Alpha Changes, Huge Weight Flips
题目
A Markowitz backtest flips from +18% to -12% in one sleeve after a tiny revision to expected-return estimates, while the covariance matrix barely changes. What does this tell you, and what would you do before trading the result live?
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提交作答时记录，用于后续平均用时统计。