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Multi Factor Models

This article discusses the characteristics of the multi factor models. In particular, we will show:

-> How to estimate the systematic and specific risk for multi factor portoflios
-> How to conduct a style attribution analysis for an equity portfolio
-> The general formulation of a multi-factor model
-> How to include the foreign investments and the resulting variance decomposition

Find the source code for this article in the offical Github repository at the link: github.com/gbaglini/baglinifinance

gbaglini
gbaglini
Quantitative Researcher & Investment Analyst
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