返回列表 发帖
one factor model extension…
Cov(i,j)=b(i)*b(j)*cov(M,M) — one factor model
Cov(i,j)=sum[b(im)*b(jn)*cov(Fm,Fn)] — two factor model
i,j markets
m,n factors {1,2}

TOP

返回列表