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9
votes
3answers
905 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
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6
votes
1answer
364 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 ...
