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Risk and Return models for Equity Markets and Implied Equity Risk Premium
Enzo Busseti
equity marketsResource overview

Risk and Return models for Equity Markets and Implied Equity Risk Premium

Paper2019

by Enzo Busseti

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equity markets

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Suggested foundations for asset pricing and factor research and portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  4. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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