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Quant版 - "Active Portfolio Management" - how's this book?
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相关话题的讨论汇总
话题: book话题: portfolio话题: management话题: active话题: barra
进入Quant版参与讨论
1 (共1页)
s******e
发帖数: 696
1
I want to learn about multi-factor models and covariance matrix
tracking error, etc..
is this a good book?
i use barra, and i heard the author worked at barra
l**********t
发帖数: 5754
2
MSCI barra website's whitepaper & its quarterly technical publication have
more information about barra's model than this book. Call you barra support
at MSCI to get the login information. Actually, I don't recall this book
cover much multi-factor model at all.
q*****r
发帖数: 43
3
sure, this book has many details about multi-facotr model, strongly
recommend as a reference.

【在 s******e 的大作中提到】
: I want to learn about multi-factor models and covariance matrix
: tracking error, etc..
: is this a good book?
: i use barra, and i heard the author worked at barra

m*******o
发帖数: 264
4
It's a pretty good book! The author from harvard worked in barra and now is
in BGI. You can learn a lot both in the theory and application.
1 (共1页)
进入Quant版参与讨论
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话题: book话题: portfolio话题: management话题: active话题: barra