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What is Statistical Analysis and Assumptions about?

This document presents models and assumptions for portfolio analysis and risk modeling. It includes: 1) Models for expected return of individual assets and portfolios as a linear function of factors plus error terms. 2) Assumptions made about the error terms including being independent and having zero mean. 3) Expressions for variance of individual assets, covariances between assets, and total portfolio variance and covariance as a function of individual asset variances and covariances.

Author

MihaiIliescu

Language

EN