January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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Multi-Factor Models
This chapter is devoted to estimating various factor models in Python. The idea behind these models is to explain the excess returns (over the risk-free rate) of a certain portfolio or asset using one or more factors (features). These risk factors can be considered a tool for understanding the cross-section of (expected) returns.
In general, factor models can be used to identify interesting assets that can be added to the investment portfolio, which— in turn—should lead to better performing portfolios.
By the end of this chapter, we will have constructed some of the most popular factor models. We will start with the simplest, yet very popular, one-factor model (the Capital Asset Pricing Model, or CAPM) and then explain ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.