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Quantitative Finance · Glossaire

Qu'est-ce que « Alpha » ?

Definition 1.10 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 1 — What a Trading Firm Does

The alpha of a strategy is the part of its expected return that is not compensation for bearing risks available cheaply elsewhere: in a regression of its returns on those of the tradable risk factors, the intercept.

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