Quant analytics: Projecting a daily risk decomposition to an annual basis
Quant analytics: Projecting a daily risk decomposition to an annual basis Suppose I have a daily risk factor model. The model generates expected daily log security returns based on the security’s exposures to various factors. Factors consist of economic factor exposures as well as cross-sectional z-scores of fundamental factors (i.e. for example, normalized Price/Book) which …
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