Factors on demand
Attilio Meucci introduces a multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models and flexible top-down attribution factor models, attains higher explanatory power, empirical accuracy and theoretical consistency than standard approaches
Linear factor models are widely used by risk and portfolio managers to measure and manage the risk in their positions.
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Factors on demand
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