Can I read Factor Model Workbook for Asset Returns on EtoBox?

Factor Model Workbook for Asset Returns by Johny is a document available to read on EtoBox.

What is Factor Model Workbook for Asset Returns about?

Task 1 requires building a workbook to estimate expected returns and variance-covariance for 10 assets using a factor model. The user can choose between 1 or 3 factors and the sample size for beta estimation. Expected returns and variance-covariance are calculated using the factor model and EWMA approach. Task 2 involves creating a macro that runs a sensitivity analysis by calculating expected returns for different model input combinations and saving the results.

Author

Johny

Language

EN