英文标题：
《Multifactor Risk Models and Heterotic CAPM》
---
作者：
Zura Kakushadze and Willie Yu
---
最新提交年份：
2016
---
英文摘要：
  We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the Russian-doll risk model construction to obtain a nonsingular factor covariance matrix. This generalizes the heterotic risk model construction to include arbitrary non-industry risk factors as well as industry risk factors with generic \"weights\". The aim of sharing our proprietary know-how with the investment community is to encourage organic risk model building. The presentation is intended to be essentially self-contained and pedagogical. So, stop wasting money and complaining, start building risk models and enjoy!
---
中文摘要：
我们给出了一个完整的算法和源代码，用于通过风格因素、主成分（beta）和/或行业因素的任意组合构建通用多因素风险模型（股票）。对于短期，我们采用俄罗斯doll风险模型构建，以获得非奇异因子协方差矩阵。这概括了异质风险模型的构建，包括任意的非行业风险因素以及具有通用“权重”的行业风险因素。与投资界分享我们专有技术的目的是鼓励建立有机风险模型。该演示文稿基本上是自成一体的，并且是教学性的。所以，停止浪费金钱和抱怨，开始建立风险模型，尽情享受吧！
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->