A practitioner's guide to factor models
Edwin Burmeister, Richard Roll, Stephen A. Ross, Edwin J. Elton, Martin J. Gruber, Richard Grinold and Ronald N. Kahn
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.
Κατηγορίες:
Έτος:
1994
Εκδότης:
CFA Institute
Γλώσσα:
english
Σελίδες:
93
ISBN 10:
0943205247
ISBN 13:
9780943205243
Αρχείο:
DJVU, 772 KB
IPFS:
,
english, 1994