！[Barra] Global Equity - Risk Model Handbook.pdf

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1、GlobalEquityRISKMODELHANDBOOKBARRAmakesnowarranty,expressorimplied,regardingtheGlobalEquityRiskModeloranyresultstobeobtainedfromtheuseoftheGlobalEquityRiskModel.BARRAEXPRESSLYDISCLAIMSALLWARRANTIES,EXPRESSORIMPLIED,REGARDINGTHEGLOBALEQUITYRISKMODEL,INCLUDINGBUTNOTLIMITEDTOALLIMPLIEDWARRANTIESO

2、FMERCHANTABILITYANDFITNESSFORAPARTICULARPURPOSEORUSEORTHEIREQUIVALENTSUNDERTHELAWSOFANYJURISDICTION.AlthoughBARRAintendstoobtaininformationanddatafromsourcesitconsiderstobereasonablyreliable,theaccuracyandcompletenessofsuchinformationanddataarenotguaranteedandBARRAwillnotbesubjecttoliabilityfo

3、ranyerrorsoromissionstherein.Accordingly,suchinformationanddata,theGlobalEquityRiskModel,andtheiroutputarenotwarrantedtobefreefromerror.BARRAdoesnotwarrantthattheGlobalEquityRiskModelwillbefreefromunauthorizedhiddenprogramsintroducedintotheGlobalEquityRiskModelwithoutBARRA'sknowledge.Copyright

4、óBARRA,Inc.1998.Allrightsreserved.0021O09/92RV05/98ContentsAboutBARRA....................................1Apioneerinriskmanagement.............................1TheGlobalEquityModel.................................2Introduction.....................................3Inthishandbook................

5、.........................3Furtherreferences.......................................4Books...............................................4Articles.............................................41.RiskandReturn................................5Somede?nitions.........................................5

6、Riskmeasurement.......................................6Returndecomposition....................................72.TheEvolutionofRiskModels....................11Systematicreturnanddiversi?cation.......................11TheCapitalAssetPricingModel..........................12TheArbitragePricingThe

7、ory.............................13Whataremultiple-factormodels?.........................13HowdoMFMswork?...................................14AdvantagesofMFMs....................................15Modelmathematics.........................