fama-french-model

  1. Nicole Seaman

    P2.T9.20.4. Factors: rebalancing, style and more volatility risk

    Learning objectives: Assess methods of mitigating volatility risk in a portfolio and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama French model as an example. Compare value and...
    • Nicole Seaman
    • Thread
    • asset-returns dynamic-risk-factors fama-french-model momentum-investment-strategies multifactor-models value-investment-strategies volatility-risk
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. David Harper CFA FRM

    P1.T1.20.10. Multifactor models of risk-adjusted asset returns

    Learning objectives: Explain the arbitrage pricing theory (APT), describe its assumptions and compare the APT to the CAPM. Describe the inputs (including factor betas) to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Explain models...
    • David Harper CFA FRM
    • Thread
    • arbitrage-pricing-theory capital-asset-pricing-model expected-return factor-betas fama-french-model multifactor-models risk-adjusted-asset-returns single-factor-model
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. Nicole Seaman

    P2.T8.703. Value, size and momentum investing (Andrew Ang)

    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and...
    • Nicole Seaman
    • Thread
    • ang dynamic-risk-factors fama-french-model mitigating-volatility-risk momentum-investing multi-factor-model-of-asset-returns return-profile risk-profile volatility-risk
    • Replies: 0
    • Forum: FRM® Practice Questions
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