kathy sham
2024-01-20 11:24Look ahead bias 有什麼問題？有什麼缺點(diǎn)？包了新data 不是更好嗎？
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
2個(gè)回答
梁雪助教
2024-01-21 10:51
該回答已被題主采納
同學(xué)你好，The second major issue in back-testing is look-ahead bias. This bias results from using information that was unknown or unavailable at the time an investment decision was made. An example of this bias is the use of financial accounting data for a company at a point in time before the data were actually released by the company.
該bias是在量化模型的決策中用到了當(dāng)時(shí)還未知的數(shù)據(jù)，比如量化模型中用到了PE數(shù)據(jù)，但在模型決策時(shí)點(diǎn)，公司的財(cái)報(bào)并未披露，不知道EPS是多少。
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追問
如數(shù)據(jù)未知那從那裏來?
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Simon助教
2024-02-02 11:46該回答已被題主采納
同學(xué)，上午好。如果數(shù)據(jù)未知，那么在回測時(shí)，就要等到數(shù)據(jù)實(shí)際公布之后，再把數(shù)據(jù)納入到回測中。其實(shí)就是等數(shù)據(jù)公布后，再用到模型里。
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