systematic risk

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    Portfolio Systematic Risk, Breaking it down into factor % contributions

    I have a portfolio (p) of N equities, with lets say weights vector (m) at the start of the calculation period. Each equity has it's own set of factors (like corresponding country, industry index, etc.), some of the equities has the same factors. I am trying to breakdown the systematic risk into...
    • Paulius
    • Thread
    • factor contribution to risk regression risk decomposition systematic risk volatility
    • Replies: 0
    • Forum: Risk (general)
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