Download E-books A Practitioner's Guide to Factor Models PDF

By The Research Foundation of the Institute of Chartered Financial Analysts

This monograph offers the paintings of 3 teams of specialists addressing using single-factor versions to provide an explanation for safety returns: Edwin Burmeister, Richard Roll, and Stephen Ross clarify the fundamentals of Arbitrage Pricing concept and speak about the macroeconomic forces which are the underlying assets of threat; Edwin J. Elton and Martin J. Gruber current multi-index versions and supply tips on their reliability and usability; and Richard C. Grinold and Ronald N. Kahn deal with multiple-factor types for portfolio probability.

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