摘要：The concepts of equity risk have evolved from calculation of simplestandard deviation of past returns to advanced multi-factor modelstoday. The complex portfolios, today, that contain multiple securities toadvantage from diversification principle and from different risk returnprofile, render the traditional practices of risk modeling and calculationsinept in measuring the portfolio risk exposure or improving theportfolio’s risk-adjusted performance for portfolio managers. Multi-factor models allow for more thorough understanding of portfolio’srisk exposures to implicit and explicit variables [1]. They are proving tobe useful not only for risk management purposes, but also in portfolioperformance attribution and providing basis for improved portfolioconstruction.
