Active Portfolio Management and Positive Alphas: Fact or Fantasy?
指出正阿尔法代表套利机会而非非均衡收益，由于套利机会罕见，正阿尔法更多是幻想；引入不可观测因子解释常见信念与正阿尔法稀缺的矛盾。
It is commonly believed that active portfolio management can generate positive alphas.This is partly based on the belief that positive alphas represent disequilibrium returns, which can exist in complex financial markets.In contradiction, this article shows that positive alphas represent arbitrage opportunities, not just disequilibrium returns.As persistent and frequent arbitrage opportunities are much rarer, even in complex markets, Jarrow argues that positive alphas are more fantasy than fact. He introduces the notion of an unobservable factor that can generate false positive alphas, and which resolves the inconsistency between common belief and the sparsity of positive alphas. <b>TOPICS:</b>Portfolio management/multi-asset allocation, security analysis and valuation