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Results tagged with factor-models
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user 13439
Econometric model that have the purpose to measure the effect of different risk measures on portfolio asset returns.
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Multi-factor APT model in practice: non-zero mean factors, observations needed and portfolios
I'm going to build a multi-factor APT model for the Swiss market starting from the work made by Chen, Roll and Ross (to which I will add and test some additional factors). I have some doubts though:
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