The guts of a statistical factor model
Specifics of statistical factor models and of a particular implementation [...]
Three things factor models do
Factor models are heavily used in finance to create variance [...]
Sensitivity of risk parity to variance differences
Equal risk contribution of assets determines the asset weights given [...]
Highlights of the London Quant Group Technology Day
A summary of the high points of the day. Factor [...]
Again with Ledoit-Wolf and factor models
We come closer to a definitive answer on the relative [...]
A test of Ledoit-Wolf versus a factor model
Statistical factor models and Ledoit-Wolf shrinkage are competing methods for [...]
Factor models of variance in finance
In "What the hell is a variance matrix?" I talked [...]