最基本的策略就是分析价差的波动，根据历史数据不断计算波动区间，考虑到各自的卖空限制，作两边作相反的交易。不需要协整分析，这必然协整啊。要调整的因素就是各自对应的市场指数的波动之间的比率变化。这个系统的难点是下单的速度，人工下估计折扣就大了，再说也忙活不过来。mispricing是转瞬即逝的，往往是某些交易者的大单的冲击瞬间造成的，尤其要同时追踪数十只A+H的股票。其实很多H股的交易比A股不活跃多了。

那篇论文里面没有提到同质预期问题，但如果对期望收益和方差、协方差的预期不是同质的，基金分离定理就不成立，后续的CAPM也不成立。马科维茨的博士论文是投资组合理论的起源，但不是全部。

这就是问题的关键，其实只有组合理论有些实际意义。基金分离定理、CAPM都是些不疼不痒的东西，没多大用处的。

基金分离定理的摘要：
This paper finds necessary and sufficient conditions on the stochastic structure of asset returns for portfolio choice to be equivalent to choice among a limited number of mutual funds of assets, independent of investors' preferences. This type of separation result is central to modern financial theory and the distributions which satisfy these conditions, the separating distributions, form the underlying basis for much of this theory.
CAPM中关于假设的部分：
In order to derive conditions for equilibrium in the capital market we invoke two assumptions. First, we assume a common pure rate of interest, with all investors able to borrow or lend funds on equal terms. Second, we assume homogeneity of investor expectations:16 investors are assumed to agree on the prospects of various investments—the expected values, standard deviations and correlation coefficients described in Part II. Needless to say, these are highly restrictive and undoubtedly unrealistic assumptions. However, since the proper test of a theory is not the realism of its assumptions but the acceptability of its implications, and since these assumptions imply equilibrium conditions which form a major part of classical financial doctrine, it is far from clear that this formulation should be rejected—especially in view of the dearth of alternative models leading to similar results.