by Daniele d’Arienzo, Matteo Bizzarri
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Suggested foundations for asset pricing and factor research. Specialist prerequisites vary by paper.
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.