RiskandReturn投资分析与投资组合管理.pptVIP

Alternative Testing Techniques Jobson proposes APT testing with a multivariate linear regression model Brown and Weinstein propose using a bilinear paradigm Others propose new methodologies 第三十一页，共四十页。 Multifactor Models and Risk Estimation In a multifactor model, the investor chooses the exact number and identity of risk factors 第三十二页，共四十页。 * Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly Keith C. Brown Chapter 9 第一页，共四十页。 Chapter 9 – Multifactor Models of Risk and Return Questions to be answered: What is the arb