O'Reilly logo

Quantitative Equity Portfolio Management by Daehwan Kim, Ludwig B Chincarini

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTER 8Forecasting Factor Premiums and Exposures

All things appear and disappear because of theconcurrence of causes and conditions. Nothing everexists entirely alone; everything is in relation toeverything else.

—Buddha

8.1 INTRODUCTION

In the two preceding chapters we established the framework for factor models, our main quantitative equity portfolio management (QEPM) tools for assessing stock returns and risk. As we have seen, one idea underlies all factor models: The average stock return equals the product of factor premiums and factor exposures. We have shown how to build both the fundamental factor model and the economic factor model on this idea using past data and estimates based on the data. While the model is built from past data, ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required