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Is there a textbook that contains the basics for creating Factor Mimicking Portfolios? Although there is a lot of peer-reviewed literature on this, I cannot find textbooks on Asset Pricing that explain in "plain words" how to create Factor Mimicking Portfolios.

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Pretty good explanation is in Schweser CFA Study Notes for CFA level III. Books 3 and 5, at least from 2009, if I remember right. See also Tsay R.S. Analysis of Financial Time Series (Wiley Series in Probability and Statistics). // 2010. - good example with implementation in R.

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