August 2021
Intermediate to advanced
208 pages
5h 2m
English
Content preview from Advanced Portfolio Management
Chapter 11
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Chapter 11
Appendix
11.1 Essential Risk Model Formulas
Here we collect the most important equations and identities.
11.1.1 Factor Model
We have 
assets, 
factors. Time is discrete. The master equation of returns according to factor models is
where
: 
-dimensional vector of asset total returns;
: 
-dimensional vector of expected returns;
: 
-dimensional vector of asset idio returns;
: -dimensional ...