 |  Investments, 4th Canadian Edition, 4/e Zvi Bodie,
Boston University School of Management
Alex Kane,
University of California, San Diego
Alan Marcus,
Boston College
Stylianos Perrakis,
Concordia University
Peter Ryan,
University of Ottawa
Index Models and the Arbitrage Pricing Theory
Web LinksPrepared by William Lim, University of New Brunswick.
| | | Using Macroeconomic Factors to Control Portfolio Risk: Using Macroeconomic Factors to Con...
(http://www.birr.com/documen2.htm)
By: Edwin Burmeister, Duke University; Richard Roll, UCLA and Stephen A. Ross, Yale University First, we will explain APT basics and the equations of the APT. Second, we will discuss macroeconomic forces that are the underlying sources of risk. Third, we will illustrate some risk exposure profiles and the resulting APT-based risk-return tradeoffs, and we will show how these fundamental risks contribute to both the expected and unexpected components of realized return. Finally, we will discuss several uses of the APT that every practitioner could easily employ. |
| | | APT Limited Home Page
(http://www.aptltd.com/)
APT Ltd. Provides software and risk models relying on the Arbitrage Pricing Theory. |
| | | BARRA Home Page
(http://www.barra.com/)
BARRA provides solutions for today’s investment risk professionals using multifactor risk models. |
| | | Factor Analysis: Educational Resources Information Center
(http://ericae.net/ft/tamu/FACTO.HTM)
Amy Minke, Texas A&M University, January 1997 With the advent of the computer and user-friendly statistical software packages, factor analysis has become accessible to most researchers. However, conventional factor analysis, or R-technique, is only useful for research concerning types or groups of variables. Often, educational and psychological researchers are interested in types of people, and R-technique is often incorrectly used in these research situations. However, appropriate factor analytic models exist to address research questions related to people, occasions, or other entities. The present paper discusses the six basic factor analytic models, when they are appropriate, and cites specific examples with the research questions they addressed. |
| | | Finance Yahoo: Daily, Weekly, Monthly Closing Prices
(http://chart.yahoo.com/d)
Daily, weekly and monthly closing prices for stocks. Add a .to at the end of the stock’s ticker to get closing prices for stocks traded on the Toronto Stock Exchange. For example, Royal Bank would be RY.to |
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2003 McGraw-Hill Higher Education