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 ...
Get Advanced Portfolio Management now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
