Thursday, March 5, 2015

Recommended Literature for creating Factor Mimicking Portfolios



Is there a textbook that contains the basics for creating Factor Mimicking Portfolios? Although there is a lot of peer-reviewed literature on this, I cannot find textbooks on Asset Pricing that explain in "plain words" how to create Factor Mimicking Portfolios.



Answer



Pretty good explanation is in Schweser CFA Study Notes for CFA level III. Books 3 and 5, at least from 2009, if I remember right. See also Tsay R.S. Analysis of Financial Time Series (Wiley Series in Probability and Statistics). // 2010. - good example with implementation in R.


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