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jecy8818 · 2024年04月02日

alpha generation的意思

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120701000080

问题如下：

Investors typically address the effects to risk-adjusted returns of ESG integration in portfolio management through:

选项：

A.risk mitigation and alpha generation. B.risk mitigation and dynamic asset allocation. C.factor risk allocation and dynamic asset allocation.

解释：

The effects and benefits of integrating ESG into portfolio management are an increasingly wide area of study Investors typically address the effects to risk-adjusted returns of ESG integration in portfolio management through risk mitigation and alpha generation Although investors have traditionally employed ESG analysis for risk mitigation, many are growing more comfortable with framing ESG as a means to generate alpha

我记得alpha是无风险利率 收益=α+β（1+x）

是不是这个公式中的α？

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1 个答案

王岑 · 2024年04月03日

嗨，爱思考的PZer你好：


这道题目中的alpha是超额回报，与你所说的这个公式不同。你提到的公式“收益 = α + β(1+x)”实际上不是一个标准的金融模型。这个公式来自CAPM模型，它的意思是“期望收益 = 无风险利率 + β(市场收益率 - 无风险利率)”，而α作为超额收益的意思，实际上并不在CAPM模型的这个公式中出现。你提到的公式中的α，是指无风险利率。

在投资领域中，"alpha"（α）指的是投资组合相对于基准指数的超额回报，也就是投资经理通过自己的投资技能所产生的，超过市场平均水平的回报。在ESG整合到投资组合管理的语境中，“alpha generation”意味着通过考虑ESG因素来寻找投资机会，这些机会有望带来超出市场基准的收益。例如，一个企业可能因为其卓越的环境政策、社会实践或治理结构而比同行表现更佳，从而为投资者提供了超额回报的可能性。

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