Microsoft PowerPoint - PoF.ppt

Overviewƒ 77

Motivation

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Single-factor models (SFM)

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Multi-factor models (MFM)

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Arbitrage Pricing Theory (APT)

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Additional literature

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Haugen, R. A.,

Modern Investment Theory

, 5th edition, 2001.

Relevant chapters: 6 and 10.

Single-period random cash flows: Factor models