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A practitioner's guide to factor models

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This monograph presents the work of three groups of experts addressing the use of single-factor 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 multi-index models and provide guidance on their reliability and usefulness; and Richard C. Grinold and Ronald N. Kahn address multiple-factor 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
Publisher: CFA Institute
Year: 1994

Language: English
Pages: 93