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ID:34820848
大小:1.22 MB
页数:166页
时间:2019-03-11
《![Barra] Global Equity - Risk Model Handbook.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、GlobalEquityRISKMODELHANDBOOKBARRAmakesnowarranty,expressorimplied,regardingtheGlobalEquityRiskModeloranyresultstobeobtainedfromtheuseoftheGlobalEquityRiskModel.BARRAEXPRESSLYDISCLAIMSALLWARRANTIES,EXPRESSORIMPLIED,REGARDINGTHEGLOBALEQUITYRISKMODEL,INCLUDINGBUTNOTLIMITEDTOALLIMPLIEDWARRANTIESO
2、FMERCHANTABILITYANDFITNESSFORAPARTICULARPURPOSEORUSEORTHEIREQUIVALENTSUNDERTHELAWSOFANYJURISDICTION.AlthoughBARRAintendstoobtaininformationanddatafromsourcesitconsiderstobereasonablyreliable,theaccuracyandcompletenessofsuchinformationanddataarenotguaranteedandBARRAwillnotbesubjecttoliabilityfo
3、ranyerrorsoromissionstherein.Accordingly,suchinformationanddata,theGlobalEquityRiskModel,andtheiroutputarenotwarrantedtobefreefromerror.BARRAdoesnotwarrantthattheGlobalEquityRiskModelwillbefreefromunauthorizedhiddenprogramsintroducedintotheGlobalEquityRiskModelwithoutBARRA'sknowledge.Copyright
4、ÓBARRA,Inc.1998.Allrightsreserved.0021O09/92RV05/98ContentsAboutBARRA....................................1Apioneerinriskmanagement.............................1TheGlobalEquityModel.................................2Introduction.....................................3Inthishandbook................
5、.........................3Furtherreferences.......................................4Books...............................................4Articles.............................................41.RiskandReturn................................5Somedefinitions.........................................5
6、Riskmeasurement.......................................6Returndecomposition....................................72.TheEvolutionofRiskModels....................11Systematicreturnanddiversification.......................11TheCapitalAssetPricingModel..........................12TheArbitragePricingThe
7、ory.............................13Whataremultiple-factormodels?.........................13HowdoMFMswork?...................................14AdvantagesofMFMs....................................15Modelmathematics.........................
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