A Practitioner's Guide to Factor Models

✍ Scribed by Edwin Burmeister; Richard Roll; Stephen A. Ross; Edwin J. Elton; Martin J. Gruber; Richard Grinold and Ronald N. Kahn

• Publisher: Research Foundation of CFA Institute
• Year: 1994
• Tongue: English
• Leaves: 93
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

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