Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

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.

share|improve this question
up vote 2 down vote accepted

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.

share|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.