A Practitioner’s Guide to Factor Models——阅读笔记
Mission
The mission of the Research Foundation is to identify, fund, and publish research material that:
- expands the body of relevant and useful knowledge available to practitioners;
- assists practitioners in understanding and applying this knowledge;
- enhances the investment management community’s effectiveness in serving clients.
Foreword
Ever since the seminal work of Harry M. Markowitz (1952), the identification and measurement of investment risk have been hotly debated. Markowitz constructed a mean-variance model to demonstrate how to quantify both the risk and return of an asset or a portfolio.
