Book Title :A Practitioner's Guide to Factor Models
This monograph presents the work of three groups of experts addressing the use of singlefactor 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 multiindex models and provide guidance on their reliability and usefulness and Richard C. Grinold and Ronald N. Kahn address multiplefactor models for portfolio risk.
Author(s) :Edwin Burmeister; Richard Roll; Stephen A. Ross; Edwin J. Elton; Martin J. Gruber; Richard Grinold and Ronald N. Kahn (1994)
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