by Eugene F. Fama, Kenneth R. French
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Start with the foundations, then use the reading focus to connect the paper to further study.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Connect model exposures to a related portfolio risk workflow.
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