Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
Lecture
Factor Models: Portfolio Optimization and APT
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.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.