Ebook: A Practitioner's Guide to Factor Models
Author: Edwin Burmeister, Richard Roll, Stephen A. Ross, Edwin J. Elton, Martin J. Gruber, Richard Grinold and Ronald N. Kahn
- Year: 1994
- Publisher: Research Foundation of CFA Institute
- Language: English
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This monograph presents the work of three groups of experts addressing the use of single-factor models to explain security returns: Edwin Burmeister, Richard Roll, and Stephen Ross explain the basics of Arbitrage Pricing Theory and discuss the macroeconomic forces that are the underlying sources of risk; Edwin J. Elton and Martin J. Gruber present multi-index models and provide guidance on their reliability and usefulness; and Richard C. Grinold and Ronald N. Kahn address multiple-factor models for portfolio risk.
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