战术性资产配置的宏观经济仪表盘(11)_来源：XYQUANT导读1、作为西学东渐--海

对各种资产的交易成本的假设如下。

参考文献

【1】Asness, C.S., T. Moskowitz, and L. Pedersen. “Value and Momentum Everywhere.” The Journal of Finance, Vol. 68, No. 3 ( June 2013), pp. 929-985.

【2】Bernanke, B. “The Relationship Between Stocks and Oil Prices.” Brookings Institute, February 2016. www.brookings.edu.

【3】Blair, H., and X. Qiao, “A Practitioner’s Defense of Return Predictability.” The Journal of Portfolio Management, Vol. 43, No. 3 (2017), pp. 60-76.

【4】Blitz, D., and P. Van Vliet. “Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes.” The Journal of Portfolio Management, Vol. 35, No. 1 (Fall 2008), pp. 23-28.