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Module 47.3 LOS 47.f: Uses of Multifactor models, tracking vs factor portfolios

May 2, 2019 by CFA Study Guide
Cfa portfolio management

We can use multifactor models for passive management, active management and in rule-based/algorithmic management For passive management, managers often create …

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Module 49.1 LOS 49.c: Covariance, Risky Cash Flows and Risk Premiums

May 2, 2019 by CFA Study Guide
Cfa portfolio management

The inter-temporal rate of substitution represents the trade-off between real consumption today vs real consumption in the future. For a …

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Module 47.1 LOS 47.a and 47.b: The Arbitrage Pricing Theory (APT) and Recognizing Arbitrage Opportunities by Combining Portfolios

May 2, 2019 by CFA Study Guide
Cfa portfolio management

The APT is a linear model of expected return that incorporates multiple systematic risk factors, but does not identify what …

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Module 50.2 LOS 50.b: The information ratio vs the Sharpe ratio and the optimal risk amount

May 2, 2019 by CFA Study Guide
Cfa portfolio management

For review, the Sharpe ratio (SR) is the excess return per unit of risk. It is unaffected by cash inflows or leverage. …

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