ENGLISH

A practitioner's guide to factor models

By Edwin Burmeister; Richard Roll; Stephen A. Ross; Edwin J. Elton; Martin J. Gruber; Richard Grinold a

Book information

Publisher
CFA Institute
Year
1994
ISBN
9780943205243, 0943205247
Open Library ID
OL11546634M
Language
english
Format
DJVU
Filesize
772 kB (790214 bytes)
Pages
93\93
Library
Kolxo3
DPI
300
Time added
2010-07-29 05:14:56

Description

This monograph presents the work of three groups of experts addressing the use of single-factor models to explain security returns: Edwin Burmeister, Richard Roll, and Stephen Ross explain the basics of Arbitrage Pricing Theory and discuss the macroeconomic forces that are the underlying sources of risk; Edwin J. Elton and Martin J. Gruber present multi-index models and provide guidance on their reliability and usefulness; and Richard C. Grinold and Ronald N. Kahn address multiple-factor models for portfolio risk.

Similar books