组合期望与风险

Lesson Overview

In "Portfolio Strategies & Risk" → "多策略组合", this lesson "组合期望与风险" builds knowledge you can apply immediately.

组合期望为权重期望加权，方差还含协方差交叉项。不能把各策略波动直接取加权平均当组合标准差，杠杆时权重还可能超1。 明确权重和现金→算加权期望→用协方差算风险→检查相关假设→压力变化。 本课作业：两策略等权，预期1%与3%，波动10%与20%，相关0。求期望与组合波动。

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸组合期望为权重期望加权，方差还含协方差交叉项。不能把各策略波动直接取加权平均当组合标准差，杠杆时权重还可能超1。
• ▸明确权重和现金→算加权期望→用协方差算风险→检查相关假设→压力变化。
• ▸本课作业：两策略等权，预期1%与3%，波动10%与20%，相关0。求期望与组合波动。

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "多策略组合"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of 组合期望与风险 on your own.