Bridge over ocean
1 March 1994 Research Foundation

A Practitioner's Guide to Factor Models

  1. CFA Institute Research Foundation
A Practitioner's Guide to Factor Models View the full book (PDF)

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.

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