Econometric model that have the purpose to measure the effect of different risk measures on portfolio asset returns.

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11
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1answer
571 views

Meta-view of different time-series similarity measures?

While I spend most of my StackExchange time on MathematicaSE, I'm in the business and follow the questions and answers on this site with great interest. Recently questions like the following (and ...
8
votes
4answers
2k 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} ...
8
votes
1answer
1k 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 ...
11
votes
3answers
2k views

Why do expected return models and risk models use different factors?

This is a question responding to weekly topic challenge. I happen to see an interesting question from SYMMYS by Michael Kapler. I always approached expected return and risk modeling as separate ...
9
votes
1answer
511 views

Has any research used Bayesian networks to estimate risk factor betas?

Is there any published research on estimating the beta of a security with respect to one or more risk factors via Bayesian networks? I'd like to see if this is a promising angle of research.
7
votes
2answers
394 views

The T+H Problem in Factor model forecasts

Suppose we train on M individuals consisting of T observations (i.e. TxM design matrix). The dependent variable is one-year return for each security (H = horizon of one year). In a factor model ...