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HangukQuant Research
Factor Modelling and Hedging Formulations (Market Notes, 300 + 25 pages)

Factor Modelling and Hedging Formulations (Market Notes, 300 + 25 pages)

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HangukQuant
Mar 10, 2023
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HangukQuant Research
HangukQuant Research
Factor Modelling and Hedging Formulations (Market Notes, 300 + 25 pages)
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P.S. For an excellent read on Factor Portfolio Management, read:

Advanced Portfolio Management; A Quant’s Guide for Fundamental Investors

In last week’s post, we covered the basis of Modern Portfolio Theory:

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Elegant Mathematics, Poor Economics
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2 years ago · 12 likes · 1 comment · HangukQuant

This week, we continue with the discussion and introduce factor models. We look at time-series factor models (FAMA), cross-sectional factor models (BARRA), attribution methods and hedging techniques. We also added some proofs that were not explicit in the previous post.

Preview:

Portfolio Management
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You will realize some of the proofs reference other Sections. These belong to other Chapters in the full lecture notes, which are meant for paid readers only.

For paid readers, you may find your full lecture notes (300 + 25 pages) and a Python notebook containing an example of factor mimicking portfolios using the GICs classifications:

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