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Linear Factor Models in Finance (Quantitative Finance)John Knight (Editor), Stephen Satchell (Series Editor)
Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives.
Review of the literature on multifactor asset pricing
M.Pitsillis
Estimating UK factor models using multivariate skew normal distribution
C. Adcock
Misspecification in the Linear Pricing Model
I. Lo
Bayesian estimation of Risk-Premia in an APT context
T. Darsinos and S. Satchell
Sharpe Style Analysis in the MSCI Sector Portfolios
G. Christodoulakis
Implication of the method of portfolio formation on asset pricing tests
I. Lo
The Small Noise Arbitrage Pricing Theory
S.Satchell
Risk Attribution in a Global Country Sector
A. Scowcroft and J. Sefton
Predictability of Fund of Hedge Fund Returns Using Dynaporte
G. Gregoriou and F. Rouah
Estimating a Combined Linear Model
A. Stroyny
Attributing Equity Risk with a Statistical Factor Model
T. Wilding
Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information
D. Di Bartolomeo and S. Warrick
Decomposing Factor Exposure for Equity Portfolios
D. Tien et al
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