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Single Factor Models

This article discusses the peculiarities of the single factor models. In particular, we will see:

About Single Factor Models

-> How to estimate the alpha and beta in single factor model
-> How to estimate risk with Exponential Weighted Moving Average
-> Relationship between relative volatility, correlation and beta.
-> Risk decomposition for single factor models

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

Gianluca Baglini
Gianluca Baglini

Quantitative Researcher & Investment Analyst

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