Factor Models: Portfolio Optimization and APT

In course

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Description

This lecture covers the mean-variance portfolio choice, optimal portfolio weights, factor models, Arbitrage Pricing Theory, maximum Sharpe ratio portfolio, Information Ratio, factors in APT models, size and value anomalies, Fama and French models, and the comparison between APT and CAPM. It also discusses how to search for factors and the HML value factor performance.

Instructors (2)

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Official source

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