Description
BME Matematikai Intézet (Összintézeti)
Matematikai Modellalkotás Szemináriuma
Kivonat:
Understanding the returns of financial assets and portfolios is crucial especially for performance attribution, where the realized performance is seen from several angles and broken down to different contributors. We will introduce the most important methods of performance analysis, including factor models.
The similarities of the returns of different assets can be attributed to similarities of industries, styles, size, or other features of the assets. These factors can be used as explanatory variables which can explain a huge portion of variance of asset returns. We also aim to give an overview about what is a factor model, how they are used in portfolio construction, performance attribution, or alpha generation.
The talk is held in English!
Az előadás nyelve angol!