Tagged Questions
6
votes
1answer
360 views
What are the steps to perform properly a risk factor analysis on a portfolio?
I have been asked to perform a factor analysis on a given portfolio, assume it's a Swiss portfolio in CHF.
First step, I chose which factors I would like to see in my analysis.
The first factors I ...
8
votes
1answer
1k views
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
There are many approaches to estimating fundamental factor equity models. I would like to focus on two traditional methods:
The time-series regression approach of Fama and French. Factors are ...
7
votes
4answers
1k views
How to perform risk factor calculation?
I am studying Arbitrage Pricing Theory (APT) and I have a question about calculating factor exposures.
Assume:
\begin{equation}
r = \beta_1r_1 + \beta_2r_2 + ... + \beta_kr_k + r_e
\end{equation}
...
