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* Speaker: Attilio Meucci
* Title: "Myths/Pitfalls of Factor Models and How to Do It Right: Factors on Demand"
* Contents: Linear factor models serve two very distinct purposes. On the one hand, they represent a powerful dimension reduction technique to perform estimation. On the other hand, they provide a practical tool to analyze and interpret the return of a portfolio.
Contrary to common practice, these two functions, namely estimation and interpretation, call for two different sets of factor models that cannot be connected by a simple linear trasnformation.
We illustrate the problems with standard one-fits-all approaches and we discuss the modular steps to implement "Factors on Demand" in practice. Please refer to SSRN-Factors on Demand: Building a Risk Platform for Portfolio Managers, Risk Managers and Traders by Attilio Meucci for further details.
* When/where: 6/2/10 at 5pm at Bloomberg office, 731 Lexignton Av. NY
* To attend: RSVP to ccosereanu@bloomberg.net
* Title: "Myths/Pitfalls of Factor Models and How to Do It Right: Factors on Demand"
* Contents: Linear factor models serve two very distinct purposes. On the one hand, they represent a powerful dimension reduction technique to perform estimation. On the other hand, they provide a practical tool to analyze and interpret the return of a portfolio.
Contrary to common practice, these two functions, namely estimation and interpretation, call for two different sets of factor models that cannot be connected by a simple linear trasnformation.
We illustrate the problems with standard one-fits-all approaches and we discuss the modular steps to implement "Factors on Demand" in practice. Please refer to SSRN-Factors on Demand: Building a Risk Platform for Portfolio Managers, Risk Managers and Traders by Attilio Meucci for further details.
* When/where: 6/2/10 at 5pm at Bloomberg office, 731 Lexignton Av. NY
* To attend: RSVP to ccosereanu@bloomberg.net