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We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: 1) longer horizon risk factors (value, growth, etc …
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Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …
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